NDLI: DCC Analysis of Two Stock Returns Volatility with Two Factors of MSCI Global and Europe Market Indices: Study of Thailand and Malaysia Stock Markets

Content Provider	IEEE Xplore Digital Library
Author	Wann-Jyi Horng Liu-Hsiang Hsu Hui-Hsin Hsu
Copyright Year	2011
Abstract	This paper uses the Thailand and the Malaysia's stock prices of material from January, 2004 to December, 2009, discussing the model construction and their association between Thailand and Malaysia's stock markets, and also uses Student's t distribution to analyze the proposed model. The empirical results show that the mutual effects of the Thailand and the Malaysia's stock markets may construct bivariate IGARCH (1, 1) model with a DCC. The empirical results also show that Thailand and Malaysia's stock market returns present the positive relation. Namely, these two stock market returns' volatility are synchronized influenced, and the average estimation value of the DCC coefficient of two stock market returns amounts to 0.326. Also, Thailand and Malaysia's stock markets do not have the asymmetrical effect in the research data period. The variation risk of the Thailand's and the Malaysia's stock markets does not receive the effect of the MSCI global index and MSCI Europe market index.
Starting Page	1
Ending Page	5
File Size	201814
Page Count	5
File Format	PDF
ISBN	9781424465798
e-ISBN	9781424465811
DOI	10.1109/ICMSS.2011.5999215
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2011-08-12
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Correlation Time series analysis Europe Indexes Stock markets Autoregressive processes
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Dynamic Associated Analysis of Two Stock Return Volatility with Two Factors of Japan and Hong Kong's Markets: Study of Thailand and Singapore Stock Markets

DCC Analysis of Two Exchange Rate Market Returns Volatility with a Factor of Switzerland Exchange Rate Market: Study of Japan and Korea Markets

Dynamic Relatedness Analysis of the Exchange Rate and the Stock Market Returns' Volatility with a Factor of U.S. Stock Market Returns: An Evidence Study of Thailand Country

Dynamic Associated Analysis of Two Stock Returns' Volatility: An Evidence Study of Malaysia and Singapore Stock Markets

Error correction and DCC analysis of two stock market returns' volatility with a factor of oil Price returns: Study of Thailand and Philippine countries

A dcc analysis of two stock market returns volatility with an oil price factor: an evidence study of singapore and thailand’s stock markets.

The Impact of Order Imbalance on Market Returns and Volatility: Evidence from Chinese Stock Market

Dynamic relationship analysis of the two stock markets with a Canada stock market factor: Study of Italy and Germany countries

Symbolic Analysis of Shanghai Stock Market Returns

DCC Analysis of Two Stock Returns Volatility with Two Factors of MSCI Global and Europe Market Indices: Study of Thailand and Malaysia Stock Markets

Similar Documents

Dynamic Associated Analysis of Two Stock Return Volatility with Two Factors of Japan and Hong Kong's Markets: Study of Thailand and Singapore Stock Markets

DCC Analysis of Two Exchange Rate Market Returns Volatility with a Factor of Switzerland Exchange Rate Market: Study of Japan and Korea Markets

Dynamic Relatedness Analysis of the Exchange Rate and the Stock Market Returns' Volatility with a Factor of U.S. Stock Market Returns: An Evidence Study of Thailand Country

Dynamic Associated Analysis of Two Stock Returns' Volatility: An Evidence Study of Malaysia and Singapore Stock Markets

Error correction and DCC analysis of two stock market returns' volatility with a factor of oil Price returns: Study of Thailand and Philippine countries

A dcc analysis of two stock market returns volatility with an oil price factor: an evidence study of singapore and thailand’s stock markets.

The Impact of Order Imbalance on Market Returns and Volatility: Evidence from Chinese Stock Market

Dynamic relationship analysis of the two stock markets with a Canada stock market factor: Study of Italy and Germany countries

Symbolic Analysis of Shanghai Stock Market Returns

DCC Analysis of Two Stock Returns Volatility with Two Factors of MSCI Global and Europe Market Indices: Study of Thailand and Malaysia Stock Markets