Regional And International Linkages Of The Asean-5 Stock Markets: A Multivariate Garch Approach
This paper examines the linkages among the ASEAN-5 stock exchanges, and their relationship with the Hong Kong and U.S. markets by using the multivariate GARCH approach for the period before and after the global financial crisis. The mean and volatility spillover effects are analysed. The mean, past-...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM),
2016.
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| Subjects: | |
| Online Access: | Get fulltext |