An empirical study of volatility in seven Southeast Asian stock markets using ARV models
Article Abstract:
A study was conducted on the volatility of the stock markets in seven Southeast Asian countries comprised of Hong Kong, Malaysia, Philippines, Singapore, Thailand, Taiwan and South Korea from 1980 to 1991. The Autoregression Random Variance model was used in analyzing the persistence, fluctuation and transmission of volatilities among these countries. Only South Korea showed a market volatility that is not correlated with other stock markets while Singapore and Malaysia have the only stock exchanges that showed volatility feedbacks.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1997
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Differences in persistence in aggregated and disaggregated UK stock returns: a reconciliation
Article Abstract:
A comprehensive study of the level of persistence in the UK's equity market revealed that the differences between portfolio and security variance ratios can be reconciled through the use of elements of the portfolio theory. This technique has established their mathematical linkages, which proved that variance ratios of portfolio returns can predict the behavior of the returns of their component securities that is not evident from the calculation of the variance ratios of the security returns.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1998
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Pacific Rim stock market integration under different federal funds rate regimes
Article Abstract:
The consolidation of US and four primary Asian-Pacific stock exchanges in 1993 and 1994 was studied by Sims-type vector autoregression. These two periods were chosen to investigate the effect of changes in the US monetary policy in 1994. Empirical findings revealed that changes in US stock returns have a more substantial impact on changes in stock returns in Hong Kong, Singapore and Australia when the US was targeting the federal funds rate in 1994.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1997
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