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Time-varying linkages of economic activities in China and the stock markets in ASEAN-5

Teng, Kee Tuan; Yen, Siew Hwa; Chua, Soo Yean; Hooi … - In: Contemporary economics 10 (2016) 2, pp. 137-152

This study attempts to investigate the evolution of dynamic linkages and volatility spillover between the five … policies. The VAR model Granger causality test observed no volatility spillover from Chinese economic activities to the ASEAN-5 … stock markets, except for Malaysia and the Philippines. However, the ASEAN-5 stock markets' volatility exerts a significant …

Persistent link: https://www.econbiz.de/10011515815

Linkages between India and Three ASEAN Stock Markets : A Co-Integration Approach

Rajkumar, Giridhari - 2017

Today, an investor has an array of investment choices including the opportunities to approach overseas market which were unavailable a few decades ago. In literature, the integration of stock markets has been widely discussed and analyzed. This paper examines the relationship between Indian...

Persistent link: https://www.econbiz.de/10012971461

International Financial Integration : Stock Return Linkage and Volatility Transmission between Vietnam and Other Advanced Countries

Vo, Xuan Vinh - 2017

terms of return linkage and volatility transmission covering the period including pre, during and post the 2008 Global … employed to investigate the volatility transmission. We find evidence of statistically significant correlation, return … spillover and volatility linkage between Vietnamese stock market with other leading stock markets of the US, Hong Kong and Japan …

Persistent link: https://www.econbiz.de/10012968438

General asymmetric stochastic volatility models using range data : estimation and empirical evidence from emerging equity markets

Asai, Manabu; Unite, Angelo A. - In: Applied financial economics 20 (2010) 13/15, pp. 1041-1049

Persistent link: https://www.econbiz.de/10009010308

Financial volatility forecasting by Least square support vector machine based on GARCH, EGARCH and GJR models : evidence from ASEAN stock markets

Phichhang Ou; Hengshan Wang - In: International journal of economics and finance 2 (2010) 1, pp. 51-64

Persistent link: https://www.econbiz.de/10009311102

The ASEAN stock market performance and economic policy uncertainty in the United States

Sum, Vichet - In: Economic papers : a journal of applied economics and policy 32 (2013) 4, pp. 512-521

Persistent link: https://www.econbiz.de/10010259469

Oil price shocks and stock markets in ASEAN-5

Koh, Wee Chian - In: Southeast Asian journal of economics 3 (2015) 1, pp. 143-164

Persistent link: https://www.econbiz.de/10011452277

Value-at-risk predictive performance : a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets

Serrano Bautista, Ramona; Núñez Mora, José Antonio - In: Journal of economics, finance & administrative science 26 (2021) 52, pp. 197-221

Purpose - This paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during crisis periods. Design/methodology/approach - Many VaR estimation models...

Persistent link: https://www.econbiz.de/10012813839

Modelling volatility spillovers from the US equity market to ASEAN stock markets

Xuan Vinh Vo; Tran Thi Tuan Anh - In: Pacific-Basin finance journal 59 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012231221

Forecasting methods for safeguarding ASEAN-5 stock exchanges during extreme volatility

Chukiat Chaiboonsri; Prasert Chaitip - In: International journal of trade and global markets 10 (2017) 1, pp. 123-130

Persistent link: https://www.econbiz.de/10011722940

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