IDENTIFYING INTERDEPENDENCIES BETWEEN SOUTH-EAST ASIAN STOCK MARKETS: A NON-LINEAR APPROACH
ÓLAN T. HENRY
This paper considers the question of how shocks to returns are transmitted across South-East Asian equity markets. Using a reasonably general statistical model our results suggest that a negative-return innovation leads to higher levels of domestic volatility than a positive innovation of equal magnitude. There is strong evidence that returns shocks are transmitted across markets, impacting not only on prices, but also on volatility. Any shock, positive or negative, serves to raise volatility. Copyright 2007 The AuthorsJournal compilation 2007 Blackwell Publishing Ltd/University of Adelaide and Flinders University .
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.