Structural Change in Stock Price Volatility of Asian Financial Markets
DC Field | Value | Language |
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dc.contributor.author | 김진웅 | - |
dc.contributor.author | 서병선 | - |
dc.contributor.author | David J. Leatham | - |
dc.date.accessioned | 2021-09-08T08:01:31Z | - |
dc.date.available | 2021-09-08T08:01:31Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2010 | - |
dc.identifier.issn | 1226-4261 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/117898 | - |
dc.description.abstract | Structural change in the volatility of five Asian and U.S. stock markets is examined during the post-liberalization period (1990-2005) of Asian financial markets using the Sup-LM test. Four Asian financial markets (Korea, Japan, Hong Kong, and Singapore) experienced structural changes. However, test results do not support the structural changes in volatility for Thailand and the U.S. Also, the empirical results show that the GARCH persistent coefficients tend to increase while the ARCH impact coefficients decrease in Asian markets, which implies that the volatility process has become more persistent. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | 한양대학교 경제연구소 | - |
dc.title | Structural Change in Stock Price Volatility of Asian Financial Markets | - |
dc.title.alternative | Structural Change in Stock Price Volatility of Asian Financial Markets | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 서병선 | - |
dc.identifier.doi | 10.17256/jer.2010.15.1.001 | - |
dc.identifier.bibliographicCitation | Journal of Economic Research (JER), v.15, no.1, pp.1 - 27 | - |
dc.relation.isPartOf | Journal of Economic Research (JER) | - |
dc.citation.title | Journal of Economic Research (JER) | - |
dc.citation.volume | 15 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 1 | - |
dc.citation.endPage | 27 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART001446364 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | GARCH volatility | - |
dc.subject.keywordAuthor | persistence | - |
dc.subject.keywordAuthor | structural change | - |
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