Threshold Model of Singapore and U.K. Stock Return Volatility in South-east Asia Markets: Study of the Thailand and the Malaysian’s Stock Markets
- Horng Wann-Jyi, Chen Ching-Huei, Hsu Liu-Hsiang
- Corresponding Author
- Horng Wann-Jyi
Available Online August 2013.
- https://doi.org/10.2991/icaicte.2013.143How to use a DOI?
- Stock market returns, asymmetric effect, IGARCH model, AIGARCH model.
- The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AIGARCH (1, 1) model is appropriate in evaluating the relationship of the Thailand’s and the Malaysian’s stock markets. The empirical result also indicates that the Thailand’s and the Malaysian’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.424, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Thailand’s and the Malaysian’s stock markets have an asymmetrical effect. The return volatility of the Thailand and the Malaysian stock markets receives the influence of the good and bad news of the Singapore and the U.K. stock return volatility rates.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Horng Wann-Jyi AU - Chen Ching-Huei AU - Hsu Liu-Hsiang PY - 2013/08 DA - 2013/08 TI - Threshold Model of Singapore and U.K. Stock Return Volatility in South-east Asia Markets: Study of the Thailand and the Malaysian’s Stock Markets BT - 2013 International Conference on Advanced ICT and Education (ICAICTE-13) PB - Atlantis Press SN - 1951-6851 UR - https://doi.org/10.2991/icaicte.2013.143 DO - https://doi.org/10.2991/icaicte.2013.143 ID - Wann-Jyi2013/08 ER -