An Impact of the European Oil Prices and the US Stock Market Returns’ Volatility on the Stock Markets of Asian Countries: An Application of the GARCH Model

• Main Authors: Tien-Fu Wang, 王天福
• Other Authors: Wann-Jyi Horng
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/84739391720371576025

碩士 === 嶺東科技大學 === 財務金融研究所 === 95 === International oil prices have been very volatile in recent years, and the US stock market has tremendous impact upon global stock markets. The volatilities of oil prices and US stock indices are influential to the psychology and operations of stock investors and will indirectly affect the overall performance of the stock market. Therefore, how the volatilities of oil prices and the US stock market influence the Asian stock markets is a focus issue worth investigating nowadays. This study aimed to investigate whether the stock returns in the Four Asian Tigers and Japan are affected by the European Brent oil price and the American S&P 500 stock index and verify whether the asymmetric effect exists among the volatilities of the five stock markets. Empirical findings from the model of ARMA(1,1) -GARCH(1,1) indicated that: (1) The current returns of the stock markets in the Four Asian Tigers and Japan were significantly correlated with the S&P 500 stock returns in the previous period and previous two periods. (2) The volatilities of European Brent oil price in the previous period and previous two periods had no significant effect on the current returns of the stock markets in the Four Asian Tigers and Japan. Only the current returns of the markets in Taiwan and Singapore were affected by the oil price in the previous three periods, but not to a significant extent. (3) Hong Kong had the highest volatility persistence, followed by Taiwan, Japan, and South Korea. The stock market in Singapore had the lowest volatility persistence. (4) The S&P return in the previous period would cause instability of the stock markets in the Four Asian Tigers and Japan and enlarge the scale of volatilities. (5) During the sample period, no significant asymmetric effect was observed among the return volatilities of the markets in the Four Asian Tigers and Japan, indicating that good news and bad news had no significantly different effects on the volatilities of stock returns.