Proceedings of the 2013 International Conference on Advanced ICT and Education

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

Authors
Horng Wann-Jyi, Chen Ching-Huei, Hsu Liu-Hsiang
Corresponding Author
Horng Wann-Jyi
Available Online August 2013.
DOI
https://doi.org/10.2991/icaicte.2013.143How to use a DOI?
Keywords
Stock market returns, asymmetric effect, IGARCH model, AIGARCH model.
Abstract
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.

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Proceedings
2013 International Conference on Advanced ICT and Education (ICAICTE-13)
Part of series
Advances in Intelligent Systems Research
Publication Date
August 2013
ISBN
978-90786-77-79-6
ISSN
1951-6851
DOI
https://doi.org/10.2991/icaicte.2013.143How to use a DOI?
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  -