A Study of Asymmetrical Reaction in Financial Markets : Evidences from Seven Asia Countries Based on a GJR Model

• Main Authors: Ting-Ju Hsieh, 謝婷茹
• Other Authors: Chen-Nan Chiang
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/98432122515865810386

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 92 === The objective of this study is to investigate whether national foreign exchange markets and stock markets react to the news from international and region market asymmetrically. This study utilizes an asymmetric univariate GJR GARCH model and Granger causality test to examine the existence of asymmetrical reaction and return of spillover effect between the domestic stock index return series, and foreign exchange rate return series in seven Asia countries include Taiwan, Japan, Hong Kong, Thailand, Singapore, Malaysia, South Korea for the period from January 1992 to December 2003. By utilizing an univariate GJR GARCH (1,1) model to exams seven Asian stock market index return series and foreign exchange rate return series covering a period from January 1992 to December 2003, this study find strong evidence supporting the existence of asymmetrical return and return volatility spillover effect on the sample return series with exception of Taiwan and Japan exchange foreign rate of return series.