دورية أكاديمية
Dynamic Volatility Linkages between Developed and Emerging Stock Markets: A MMV-GARCH Approach
العنوان: | Dynamic Volatility Linkages between Developed and Emerging Stock Markets: A MMV-GARCH Approach |
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المؤلفون: | YANG, Xin-Xia, SU, Xian-Fang, HE, Zu-Xing |
المصدر: | DEStech Transactions on Social Science, Education and Human Science; 4th International Conference on Social Science (ICSS 2017) ; 2475-0042 |
بيانات النشر: | DEStech Publications, Inc. |
سنة النشر: | 2018 |
المجموعة: | DPI Journals (Destech Publications) |
مصطلحات موضوعية: | Stock market, Volatility linkage structure, Dynamic conditional correlation, Time-varying unconditional correlation |
الوصف: | This paper investigates the short-run and long-run volatility linkage structures among developed and emerging stock markets using a multivariate multiplicative volatility GARCH (MMV-GARCH) model, which fulfills the assumption of a constant unconditional covariance matrix. The empirical results show that in the long-run volatility linkages, both developed and emerging markets are affected by the subprime mortgage crisis, but the developed stock markets are more sensitive to global financial perturbations. Moreover, the concern that the volatility linkages in stock markets are more significant after the subprime mortgage crisis is unfounded. In the short-run volatility linkages, the developed stock markets present stronger volatility correlation than the emerging markets. |
نوع الوثيقة: | article in journal/newspaper |
اللغة: | unknown |
العلاقة: | https://www.dpi-journals.com/index.php/dtssehs/article/view/19393Test |
DOI: | 10.12783/dtssehs/icss2017/19393 |
الإتاحة: | https://doi.org/10.12783/dtssehs/icss2017/19393Test https://www.dpi-journals.com/index.php/dtssehs/article/view/19393Test |
حقوق: | Copyright (c) 2018 DEStech Transactions on Social Science, Education and Human Science |
رقم الانضمام: | edsbas.22017C16 |
قاعدة البيانات: | BASE |
DOI: | 10.12783/dtssehs/icss2017/19393 |
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