Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets
نویسندگان
چکیده
منابع مشابه
The relationship between stock markets of major developed countries and Asian emerging markets
With the emergence of new capital markets and liberalization of stock markets in recent years, there has been an increase in investors’ interest in international diversification. This is so because international diversification allows investors to have a larger basket of foreign securities to choose from as part of their portfolio assets, so as to enhance the reward-to-volatility ratio. This be...
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During the last decades, the financial markets volatility concept attracted the attention of the theorists and the experts in the field of finance, especially for the internationally diversified wallets. In this article, we used an asymmetric dynamic conditional correlation (DCC-GARCH (1.1)) model following the approach of Engle (2002), to test if the volatility of individual market or their re...
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ژورنال
عنوان ژورنال: International Journal of Finance & Economics
سال: 2014
ISSN: 1076-9307
DOI: 10.1002/ijfe.1506