Application of Range-Based Dynamic Conditional Correlation Model in the International Stock Market Correlations: Evidence from the U.S., Japan, and the U.K. to Asian Countries

• Main Authors: Bing-You Chen, 陳秉佑
• Other Authors: Ray Yeutien Chou
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/97887074644318287785

碩士 === 國立交通大學 === 經營管理研究所 === 95 === This paper investigates the international stock market dynamic correlations between U.S., Japan, U.K., and ten Asian stock markets. Daily data are from 1990/7/1 to 2007/3/9. We use Condition Autoregressive Range (CARR) model of Chou (2005),as an alternative to the univariate GARCH in the dynamic conditional correlation (DCC) model of Engle(2002) first-step estimation. First, The correlations between Asian stock markets and a local idiosyncratic stock market are higher than the correlations between Asian stock markets and a global stock market. Second, the correlations between the mature Asian stock markets and Japan & U.S are higher than others. Third, the correlations between high economic growth Asian countries and international stock markets are much lower. Fourth, there is a positive relation between the mean of dynamic conditional correlations and stock price index in Taiwan, Singapore, and Korea with Japan.