NDLI: An Influence of U.S. and U.K. Stock Market Returns for Two Stock Markets: An Evidence Case by Singapore and Japan's Stock Markets

Content Provider	IEEE Xplore Digital Library
Author	Wann-Jyi Horng Liu-Hsiang Hsu Hui-Hsin Hsu
Copyright Year	2010
Abstract	The empirical results show that the dynamic conditional correlation (DCC) and the bivariate IGARCH (1, 1) model is appropriate in evaluating the relationship of the Singapore and the Japan's stock markets. The empirical result also indicates that the Singapore and the Japan's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.495, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Singapore's and Japan's stock markets do not have the asymmetrical effect. The return volatility of the Singapore and Japan's stock markets receives the influence of the U.S. and the U.K. return volatility rates. The square item of U.S. and U.K. stock market returns affects the variation risk of the Singapore's stock market. And the square item of U.S. stock market returns also affects the variation risk of the Japan's stock market.
Starting Page	1
Ending Page	4
File Size	209545
Page Count	4
File Format	PDF
ISBN	9781424453252
DOI	10.1109/ICMSS.2010.5578218
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2010-08-24
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Correlation Biological system modeling Estimation Stock markets Joints Business
Content Type	Text
Resource Type	Article

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