The mean/volatility asymmetry in Asian stock markets

Liau, Yung-Shi and Jack Yang

Applied Financial Economics, 2008, vol. 18, issue 5, pages 411-419

Abstract: This study tests the asymmetric responses of mean reversion and volatility using the asymmetric nonlinear smooth transition generalized autoregressive conditional heteroskedasticity (ANST-GARCH) model. The asymmetric mean reversion and volatility reflect the fact that investors react more strongly to bad news than to good news. Since risk averse investors overweigh more severely the potentials of bad news after a heavy loss, this study applies daily stock index returns from Hong Kong, Japan, Malaysia, Singapore, South Korea, Taiwan and Thailand during 1994-2005 to test this hypothesis. The result shows that following the Asian financial crisis most markets displayed increased sensitivity to bad news, which confirms the hypothesis.

Downloads: (external link)
http://www.informawo ... 40C6AD35DC6213A474B5 (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.

Ordering information: This journal article can be ordered from
http://www.tandf.co.uk/journals/subscription.html

Access Statistics for this article

Applied Financial Economics is edited by Mark P. Taylor

More articles in Applied Financial Economics from Taylor and Francis Journals
Series data maintained by Christopher F. Baum ().