Volatility Dynamics in the ASEAN– China Free Trade Agreement

John Francis T. Diaz

Journal of Emerging Market Finance, 2018, vol. 17, issue 3, 287-306

Abstract: This study used three multivariate general autoregressive conditional heteroskedasticity models to analyze the volatility dynamics in the ASEAN–China Free Trade Agreement. Results indicated the presence of long-run persistence, wherein shocks in China’s stock market affect other ASEAN stock indices in the long term. Further tests revealed the presence of time-varying correlations, suggesting dynamic models, such as the dynamic conditional correlations model, are appropriate. The Baba, Engle, Kraft, and Kroner model determined that the conditional covariances of the Chinese and ASEAN indices are functions of their lagged covariances, further proving that China’s stock volatilities impact the volatilities of ASEAN counterparts. JEL Classification: C58, G15

Keywords: ASEAN–China stock returns and volatility; ACFTA bilateral relationship; CCC; DCC and diagonal BEKK models (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:17:y:2018:i:3:p:287-306

DOI: 10.1177/0972652718797812

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