Asymmetric Volatility Risk And Return Tradeoff In Asian Pacific Stock Markets PDF Download
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Author | : Usman Bashir |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Asymmetric Volatility, Risk and Return Tradeoff in Asian Pacific Stock Markets Book in PDF, ePub and Kindle
Author | : Richard Heaney |
Publisher | : |
Total Pages | : 36 |
Release | : 1997 |
Genre | : Mathematical models |
ISBN | : |
Download An Examination of the Variation in Equity Market Returns and Volatility in the Asia Pacific Region Book in PDF, ePub and Kindle
Author | : Kee-hong Bae |
Publisher | : |
Total Pages | : 32 |
Release | : 1993 |
Genre | : Investments, Foreign |
ISBN | : |
Download International Spillovers and Volatility Asymmetries Book in PDF, ePub and Kindle
Author | : Prashant Mahesh Joshi |
Publisher | : |
Total Pages | : 8 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Return and Volatility Spillovers Among Asian Stock Markets Book in PDF, ePub and Kindle
The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity-Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The implication of weak integration is that investors will benefit from reduction of diversifiable risk.
Author | : Suk-Joong Kim |
Publisher | : |
Total Pages | : 33 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Information Leadership in the Advanced Asia-Pacific Stock Markets Book in PDF, ePub and Kindle
This paper investigates the nature of the stock market linkages in the advanced Asia-Pacific stock markets of Australia, Hong Kong, Japan and Singapore with the U.S and the information leadership of the U.S. and Japan in the region since the early 1990s. It has been found that both the contemporaneous return and volatility linkages were significant and tended to be more intense after the 1997 Asian crisis period. However, the investigation of the dynamic information spillover effects in terms of returns, volatility and trading volume from the U.S. and Japan did not produce such time-varying influence. In general, significant dynamic information spillover effects from the U.S. were found in all the Asia-Pacific markets, but the Japanese information flows were relatively weak and the effects were country specific.
Author | : Cheng-Few Lee |
Publisher | : Emerald Group Publishing |
Total Pages | : 267 |
Release | : 2019-08-21 |
Genre | : Business & Economics |
ISBN | : 1789732875 |
Download Advances in Pacific Basin Business, Economics and Finance Book in PDF, ePub and Kindle
Advances in Pacific Basin Business, Economics and Finance is an annual publication designed to focus on interdisciplinary research in finance, economics, and management among Pacific Rim countries.
Author | : Eduardo Roca |
Publisher | : Routledge |
Total Pages | : 184 |
Release | : 2020-11-25 |
Genre | : Business & Economics |
ISBN | : 1000114023 |
Download Price Interdependence Among Equity Markets in the Asia-Pacific Region Book in PDF, ePub and Kindle
This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.
Author | : Peijie Wang |
Publisher | : Routledge |
Total Pages | : 337 |
Release | : 2008-09-19 |
Genre | : Business & Economics |
ISBN | : 1134091451 |
Download Financial Econometrics Book in PDF, ePub and Kindle
This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes:- unit roots, cointegration and other develop
Author | : |
Publisher | : Routledge |
Total Pages | : 337 |
Release | : |
Genre | : |
ISBN | : 113409146X |
Download Financial Econometrics Book in PDF, ePub and Kindle
Author | : Adam Zaremba |
Publisher | : Springer |
Total Pages | : 325 |
Release | : 2018-07-25 |
Genre | : Business & Economics |
ISBN | : 3319915304 |
Download Price-Based Investment Strategies Book in PDF, ePub and Kindle
This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.