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 language | English |
|---|---|
| Pages (from-to) | 82-90 |
| Number of pages | 9 |
| Journal | International Research Journal of Finance and Economics |
| Volume | 1 |
| Issue number | 27 |
| Publication status | Published - 2009 May 1 |
Fingerprint
All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics
Cite this
}
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 journal › Article
TY - JOUR
T1 - Interactions among NASDAQ and main asian stock indices based on
AU - Huang, Shian-Chang
PY - 2009/5/1
Y1 - 2009/5/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=67549098223&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=67549098223&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:67549098223
VL - 1
SP - 82
EP - 90
JO - International Research Journal of Finance and Economics
JF - International Research Journal of Finance and Economics
SN - 1450-2887
IS - 27
ER -