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Response asymmetries in Asian stock markets

Doong, Shuh-Chyi; Yang, Sheng-Yung; Chiang, Thomas C. - In: Review of Pacific Basin financial markets and policies 8 (2005) 4, pp. 637-657

Persistent link: https://www.econbiz.de/10003280288

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Response Asymmetries in Asian Stock Markets

Doong, Shuh-Chyi; Yang, Sheng-Yung; Chiang, Thomas C. - In: Review of Pacific Basin Financial Markets and Policies … 08 (2005) 04, pp. 637-657

This paper examines autocorrelation and cross-autocorrelation patterns for selected Asian stock returns. Special attention is given to examination of Asian stock returns and the impact on them of the past information. By employing a class of asymmetric specification of conditional mean and...

Persistent link: https://www.econbiz.de/10005047233