Diagnosing shocks in stock markets of southeast Asia, Australia, and New Zealand

W.s Chan and W.n Liu

Mathematics and Computers in Simulation (MATCOM), 2002, vol. 59, issue 1, 223-232

Abstract: Relatively infrequent but important events such as wars, natural disasters, currency crises, and changes of political leaders can have important effects on stock market performance. In this article, we are interested in determining the importance of large shocks in stock markets of southeast Asia, Australia and New Zealand. We attempt to establish the frequency, timing, and persistence of large shocks and whether they are important contributors to the variation in each stock market. Furthermore, we try to match these shocks with identifiable social and economic events.

Keywords: ASEAN stock markets; Outliers; Time series models (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:59:y:2002:i:1:p:223-232

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