IDENTIFYING INTERDEPENDENCIES BETWEEN SOUTH-EAST ASIAN STOCK MARKETS: A NON-LINEAR APPROACH

Ólan T. Henry
Authors registered in the RePEc Author Service: Rajith W. D. Lakshman ()

Australian Economic Papers, 2007, vol. 46, issue 2, pages 122-135

Abstract: 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 Authors
Journal compilation 2007 Blackwell Publishing Ltd/University of Adelaide and Flinders University .

Date: 2007

Downloads: (external link)
http://www.blackwell-synergy.com/links/doi/10.1111/j.1467-8454.2007.00309.x link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:ausecp:v:46:y:2007:i:2:p:122-135

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0004-900X

Access Statistics for this article

Australian Economic Papers is edited by Daniel Leonard

More articles in Australian Economic Papers from Blackwell Publishing
Series data maintained by Christopher F. Baum ().