• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文会议>2012 6th International Conference on New Trends in Information Science, Service Science and Data Mining >An impact of the Japan and the U.S. stock return volatility for two stock markets: An empirical study of Taiwan and Korea Countries
【24h】

An impact of the Japan and the U.S. stock return volatility for two stock markets: An empirical study of Taiwan and Korea Countries

机译：日本和美国股票收益率波动对两个股票市场的影响：对台湾和韩国国家的实证研究

获取原文
获取原文并翻译 | 示例
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

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 Taiwan's and the Korea's stock markets. The empirical result also indicates that the Taiwan and the Korea's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.6278, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Taiwan and the Korea stock markets have an asymmetrical effect. The return volatility of the Taiwan and the Korea stock markets receives the influence of the positive and negative values of the Japan and the U.S. stock return volatility rates. Besides, the error square item of Taiwan stock market affects the variation risk of the Korea stock market. The error square item of Korea stock market also affects the variation risk of the Taiwan stock market.
机译：实证结果表明，动态条件相关（DCC）和双变量AIGARCH（1，1）模型适用于评估台湾和韩国股市的关系。实证结果还表明，台湾和韩国的股票市场是正相关的。相关系数的平均估计值等于0.6278，这意味着两个股票市场具有同步影响。此外，实证结果还表明，台湾和韩国的股票市场具有不对称效应。台湾和韩国股市的收益波动率受到日本和美国股票收益率波动率的正负值的影响。此外，台湾股市的误差平方项会影响韩国股市的变动风险。韩国股市的误差平方项也影响台湾股市的变动风险。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号