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National Chung Hsing University Institutional Repository - NCHUIR > 農業暨自然資源學院 > 應用經濟學系 > 依資料類型分類 > 期刊論文 >  A double-threshold GARCH model of stock market and currency shocks on stock returns

Please use this identifier to cite or link to this item: http://nchuir.lib.nchu.edu.tw/handle/309270000/135549

標題: A double-threshold GARCH model of stock market and currency shocks on stock returns
作者: Yang, Y.L.;Chang, C.L.
張嘉玲
關鍵字: Threshold values;Double-threshold GARCH model;Asymmetry;Stock market;returns;Exchange rates;conditional heteroskedasticity;volatility;errors
日期: 2008
Issue Date: 2012-12-14 11:59:51 (UTC+8)
關連: Mathematics and Computers in Simulation, Volume 79, Issue 3, Page(s) 458-474.
摘要: International integration of financial markets provides a channel for currency movements to affect stock prices. This paper applies a four-regime double-threshold GARCH (DTGARCH) model of stock market returns to investigate empirically the effects of daily currency movements on five stock market returns, namely in Taiwan, Singapore, South Korea, Japan and the USA. The asymmetric reactions of the mean and volatility stock returns in five markets to stock market and foreign exchange news are investigated using linear and nonlinear models. We discuss a four-regime DTGARCH model, which allows for asymmetry in both the conditional mean and conditional variance simultaneously by using two threshold variables to analyze stock market reactions to different types of information (that is, positive and negative news) that are generated from stock and foreign exchange markets. By applying the four-regime DTGARCH model, this paper finds that the interactions between the information of stock and foreign exchange markets lead to asymmetric reactions of stock returns and their associated variability. The empirical results show that international fund managers who invest in newly emerging stock markets need to evaluate the value and stability of domestic currencies as part of their stock market investment decisions. (C) 2008 IMACS. Published by Elsevier B.V. All rights reserved.
Relation: Mathematics and Computers in Simulation
Appears in Collections:[依資料類型分類] 期刊論文
[依教師分類] 張嘉玲

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