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Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/1867

Title: Using Multivariate Stochastic Volatility Models to Investigate the Interactions Among NASDAQ and Major Asian Stock Indices
Authors: Shieh-Liang Chen;Shian-Chang Huang;Yi-Mien Lin
Contributors: 企業管理學系
Date: 2007
Issue Date: 2010-11-15T07:45:28Z
Abstract: In this article, we employ a multivariate stochastic volatility (MSV) model to investigate the return and volatility interactions among three major Asian stock indices and the NASDAQ index. Using Laplace approximation to simplify the calculation of the likelihood function of the MSV model, we estimate the complex dynamics among these indices relatively quickly. A interesting phenomenon of our empirical results is that all the market indices examined exhibit significant leverage effects, especially the TWSI (Taiwan) index. Moreover, the return correlations are large in links between these Asian markets, but small in links between every Asian index and the NASDAQ index. However, the volatility correlations display a totally different pattern that is large in links of NASDAQ-TWSI, NASDAQ-KOSPI (South Korea), but small among links between these Asian indices.
Relation: Applied Economics Letters, 1466-4291, 14(2):127-133
Appears in Collections:[企業管理學系] 期刊論文

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