English, Article edition: News and Asian Emerging Markets Tatsuyoshi Miyakoshi

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Bookmark: http://trove.nla.gov.au/version/132411
Physical Description
  • article
Language
  • English

Edition details

Title
  • News and Asian Emerging Markets
Author
  • Tatsuyoshi Miyakoshi
Physical Description
  • article
Notes
  • This paper investigates the effects of news on conditional variances in the six Asian emerging markets by using the composite index of news from January 1995 to April 2000. Our results are as follows. First, the greater is the volume of current news, the greater is the volatility in all markets. The effects of current news last for one day in Taiwan and Thailand, but last for at least two days in the other countries. Second, we identify Thailand and Indonesia as "news-rich" markets. Third, we confirm the robustness of results based on the composite index of news by using data from Japanese and US markets. Detailed analysis of news items, which is popular in advanced countries, is necessary even in developing countries to earn extra profits by responding quickly to news.
  • News, Asian emerging markets, EGARCH, JEL Classification: G1, JEL Classification: C40, JEL Classification: C20
  • RePEc:wsi:rpbfmp:v:09:y:2006:i:03:p:359-384
Language
  • English
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