The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model

被引：13

作者：

Chen, Cathy W. S.

Yang, Ming Jing ^{[1
]}

Gerlach, Richard

Lo, H. Jim

机构：

[1] Feng Chia Univ, Dept & Grad Inst Finance, Taichung 407, Taiwan

[2] Feng Chia Univ, Grad Inst Stat & Acturial Sci, Taichung 407, Taiwan

[3] Univ Newcastle, Sch Math & Phys Sci, Newcastle, NSW 2308, Australia

[4] Natl Taiwan Univ, Grad Inst Int Business, Taipei 106, Taiwan

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2006年 / 366卷 / 01期

关键词：

information asymmetry; double-threshold GARCH model; international financial markets;

D O I：

10.1016/j.physa.2005.10.021

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

in this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both the conditional mean and variance equations simultaneously by employing two threshold variables, to analyze the stock markets' reactions to different types of information (good/bad news) generated from the domestic markets and the US stock market. By applying the four-regime DTGARCH model, this study finds that the interaction between the information of domestic and US stock markets leads to the asymmetric reactions of stock returns and their variability. In addition, this research also finds that the positive autocorrelation reported in the previous studies of financial markets may in fact be mis-specified, and actually due to the local market's positive response to the US stock market. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：401 / 418

页数：18