Interactions among NASDAQ and main asian stock indices based on

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

This paper employs a factor stochastic volatility (SV) model to investigate the return and volatility interactions among three major Asian stock indices and the NASDAQ index. Factor SV models simplify the implementation a general Multivariate SV model, and have good capability to decompose complicated interactions among financial markets. Our empirical results reveal interesting phenomenons: first, the common volatility component among the four indices is highly persistent, and it behaves like a long memory random walk. All of the idiosyncratic components have a smaller persistent level, but are more volatile than the common component. Second, the NASDAQ, NK225, and TWSI indices form a group which reveal strong correlations with each other. The KOSPI index, however, displays weaker correlations with the other three indices.

Original languageEnglish
Pages (from-to)82-90
Number of pages9
JournalInternational Research Journal of Finance and Economics
Volume1
Issue number27
Publication statusPublished - 2009 May 1

Fingerprint

Asia
Interaction
Stock index
Stochastic volatility model
Factors
Random walk
Volatility components
Empirical results
Multivariate stochastic volatility
Long memory
Common component
Financial markets

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cite this

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Interactions among NASDAQ and main asian stock indices based on. / Huang, Shian-Chang.

In: International Research Journal of Finance and Economics, Vol. 1, No. 27, 01.05.2009, p. 82-90.

Research output: Contribution to journalArticle

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