Miyakoshi, Tatsuyoshi - In: Review of Pacific Basin Financial Markets and Policies … 09 (2006) 03, pp. 359-384
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....