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

DOI

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.

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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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  - Proceedings of the 2013 International Conference on Advanced ICT and Education
PB  - Atlantis Press
SP  - 696
EP  - 700
SN  - 1951-6851
UR  - https://doi.org/10.2991/icaicte.2013.143
DO  - 10.2991/icaicte.2013.143
ID  - Wann-Jyi2013/08
ER  -