Negative Return-Volume Relationship in Asian Stock Markets: Figarch-Copula Approach

Muhammad Naeem (), Hao Ji () and Brunero Liseo ()
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Muhammad Naeem: Sapienza Universita di Roma, Italy
Hao Ji: Sapienza Universita di Roma, Italy
Brunero Liseo: Sapienza Universita di Roma, Italy

Eurasian Journal of Economics and Finance, 2014, vol. 2, issue 2, 1-20

Abstract: We explore the potential dependence among different Asian stock markets, using several different statistical models. Extreme return-volume dependence in Hong Kong Seng Index, Bombay Stock Exchange, Indonesia Composite Index and Bursa Malaysia has been examined by using FIGARCH-Copula and GARCH-Copula approach. We have used Gaussian, Student-t, Frank, Clayton, Survival Clayton and Gumbel copulas. Based on Akaike information criterion (AIC), we found that using FIGARCH model for return series improves the results of copula parameter estimation. According to our finding, Hong Kong and Indian stock indices showed weak upper tail dependence between return and volume. Further, we have found that the extremely low returns for Malaysia and Indonesia stock indices are followed by high volumes, providing evidence of leverage effect. Our investigation shows that Malaysia and Indonesia stock indices are sensitive to bad news rather than good news.

Keywords: Long Memory; FIGARCH-Copula Model; Asian Stock Markets; Upper Tail Dependence; Negative Returns (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ejn:ejefjr:v:2:y:2014:i:2:p:1-20

DOI: 10.15604/ejef.2014.02.02.001

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