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    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/2138


    Title: Dynamic Relatedness Analysis of Two Stock Market Returns Volatility: An Empirical Study on the South Korean and Japanese Stock Markets
    Authors: WANN-JYI HORNG
    TIEN-CHUNG HU
    JU-LAN TSAI
    Contributors: Department of Hospital and Health Care Administration, Chia Nan University of Pharmacy & Science
    Keywords: asymmetrical effect;bivariate asymmetric-GARCH model;constant conditional correlation;dynamic conditional correlation;stock market returns;student’s t distribution;GJR-GARCH model
    Date: 2009-03
    Issue Date: 2009-10-16 13:41:50 (UTC+8)
    Publisher: Asia University
    Abstract: This paper discusses the association and the model construction of the South Korean and Japanese stock markets for the period from January 4, 1999 to December 29, 2005. This paper also utilizes Student's t distribution to analyze the proposed model. The empirical analyses indicate that there is a strong association between the South Korean and Japanese stock markets. We use a bivariate
    asymmetric-GARCH(1, 2) model with a dynamic conditional correlation (DCC) to evaluate the
    association and find that there exists an asymmetrical effect between the two stock markets. The results of the empirical analyses also show that the Japanese stock market returns positively affect the South
    Korean stock market returns, and the volatilities of the Japanese and South Korean stock market returns interact with each other. The average value of dynamic conditional correlation of these two stock
    market return amounts to 0.5306. Furthermore, the South Korean and Japanese stock markets have an asymmetrical phenomenon in the sample period. The explanatory ability of the bivariate asymmetric DCC-GARCH(1, 2) model is better than the model of the bivariate DCC-GARCH model .
    The evidence may suggest that stock market investors or international fund managers should consider the risk of the stock price return volatility and its close connection with the stock market as they make investment decisions. In other words, in addition to considering the stability of stock market time, investors should take into consideration the foreign country stock market return volatility behavior in order to achieve the anticipated effect.
    Relation: Asian Journal of Management and Humanity Sciences 4(1):1-15
    Appears in Collections:[Asian Journal of Management and Humanity Sciences] v.4 n.1

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