STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US

Arbeitspapier

We investigate the financial interactions between countries in the Pacific Basin region (Korea, Singapore, Malaysia, Hong Kong and Taiwan), Japan and US. The originality of the paper is the use of STAR-GARCH models, instead of standard correlation-cointegration techniques. For each country in the Pacific Basin region, we find statistically adequate STAR-GARCH models for the series of stock market daily returns, using Nikkei225 and S&P500 as alternative threshold variables. We provide evidence for the leading role of Japan in the period 1988-1990 (pre-Japanese crisis years), whereas our results suggest that the Pacific Basin region countries are more closely linked with the US during the period 1995-1999 (post- Japanese crisis years).

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Nota di Lavoro ; No. 43.2003

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection ; Financial Aspects of Economic Integration
• Thema: STAR-GARCH models ; stock market integration ; Pacific-Basin capital markets ; outliers ; Aktienmarkt ; Preiskonvergenz ; ARCH-Modell ; Ostasien ; Japan ; USA ; Autokorrelation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Busetti, Giorgio ; Manera, Matteo
• Ereignis: Veröffentlichung
• (wer): Fondazione Eni Enrico Mattei (FEEM)
• (wo): Milano
• (wann): 2003

Weitere Informationen

• Handle: http://hdl.handle.net/10419/118072
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ