News and Asian Emerging Markets

Tatsuyoshi Miyakoshi ()
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Tatsuyoshi Miyakoshi: Graduate School of International Cultural Studies, Tohoku University Kawauchi Aoba-ku, Sendai — 980-8576, Japan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2006, vol. 09, issue 03, 359-384

Abstract: This paper investigates the effects of news on conditional variances in the six Asian emerging markets by using the composite index of news from January 1995 to April 2000. Our results are as follows. First, the greater is the volume of current news, the greater is the volatility in all markets. The effects of current news last for one day in Taiwan and Thailand, but last for at least two days in the other countries. Second, we identify Thailand and Indonesia as "news-rich" markets. Third, we confirm the robustness of results based on the composite index of news by using data from Japanese and US markets. Detailed analysis of news items, which is popular in advanced countries, is necessary even in developing countries to earn extra profits by responding quickly to news.

Keywords: News; Asian emerging markets; EGARCH; JEL Classification: G1; JEL Classification: C40; JEL Classification: C20 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1142/S0219091506000823

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