Wann-Jyi Horng

An Impact of U.S. and U.K. Stock Return Rates' Volatility on the Stock Market Returns: An Evidence Study of Germany's Stock Market Returns

In this paper, the researcher proposes a double threshold-IGRACH model to investigate the impacts of U.S. and U.K. stock return volatility rates for the Germany stock market. Empirical results show that the double threshold-IGRACH(1,1) model is appropriate to be used in investigating how the volatility rates of the U.S. and the U.K. stock market return affect the Germany stock returns, as well as reflects that the Germany stock market has an asymmetrical effect. It also shows that the news of the U.S. and the U.K. stock return volatilities would affect the Germany stock market returns, including its variation risk. Therefore, the double threshold-IGARCH(1,1) model has more better explanatory ability as compared to the GARCH and the GJR-GARCH models.

DCC analysis of two exchange markets with a factor of Japan dollars: Study of Philippine and Indonesia exchange markets

This article conducts an empirical investigation examining the model construction and the association between Philippine and Indonesia exchange markets by using the data of Philippine Peso exchange rates against US Dollar and the Indonesia exchange rate against US Dollar from January 2003 to December 2009. In addition, we also adopt Students t distribution to analyze the proposed model. The empirical results show that the mutual effects of the Philippine and the Indonesia exchange markets may be constructed in bivariate IGARCH (1, 1) model with a DCC. Our findings suggest that there exists a positive relationship between Philippine and Indonesia exchange market returns, that is, the volatilities of these two exchange market returns are synchronously influence. Furthermore, the average estimator of the DCC coefficients of two exchange market returns equals to 0.3067. The Japan exchange rate return volatility will also affect the variation risk of the Philippine exchange market; likewise the Japan exchange rate return volatility will impact the variation risk of the Indonesias exchange market. Additionally, Philippine and Indonesia stock markets do not have the asymmetrical effect in the research data period.

A DCC Analysis of Stock Market and Exchange Rates: An Evidence Study of the South Korea Country

This paper studies the relatedness and the model construction of exchange rate volatility and the South Korea stock market returns. Empirical results show that we can construct a bivariate EGARCH(1, 2) model with a dynamic conditional correlation (DCC) to analyze the relationship of exchange rate volatility and Korea stock market returns. The average estimation value of the DCC coefficient for these two markets equals to -0.1961, this result indicates that the exchange rate volatility negatively affects the South Korea stock market. Empirical result also shows that there exists an asymmetrical effect on the South Korea stock market, but the exchange rate volatility does not have the asymmetrical effect. Based on the good news and bad news (Nelson, 1991) of the stock market, the bivariate EGARCH(1, 2) model with a DCC has the better explanation ability compared to the bivariate GARCH(1, 1) model.

An Impact of the Canada and the U.K. Return Volatility on the Hong Kong and the Singapore Stock Market Returns: A DCC and Bivariate AIGARCH Model

This paper discusses the model construction and the association between the Hong Kong and the Singapore stock markets. The data period is from January 2001 to August 2010. The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AIGARCH(1, 1) model are appropriate in evaluating the relationship of the Hong Kong and the Singapore stock markets. The empirical results also indicate that the Hong Kong and the Singapore stock markets are in a positive relation. The average estimation value of correlation coefficient equals 0.645, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Hong Kong and the Singapore stock markets have an asymmetrical effect. The return volatility of the Hong Kong and the Singapore stock markets receives the influence of the positive and negative values of the Canada and the U.K. return volatility rates. The evidence might suggest that stock market investors or international fund manager must consider the Canada stock price return volatility risk and its close connection with the U.K. market while making investment decision on the Hong Kong and the Singapore stock market. In other words, in addition to considering the stability of stock market time, investors should take into consideration the foreign country stock market return volatility behavior in order to achieve the anticipated effect.

DCC Analysis of Two Stocks Returns Volatility with Two Factors of Hong Kong and Japan Stocks Markets: Study of Thailand and Malaysia Stocks Markets

This paper uses the Thailands and the Malaysias stocks prices of material from January, 2004 to December, 2009, discussing the model construction and their associations of between Thailands and Malaysias stocks markets, and also uses Students t distribution to analyze the proposed model. The empirical results show that the mutual effects of the Thailands and the Malaysias stocks markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical results also show that returns indicates the positive relation between Thailands and Malaysias stocks markets - namely these two returns volatility of the stocks markets are synchronized influenced, and the average estimation value of the DCC coefficient of two stocks market returns amounts to 0.4265. Also, Thailands and Malaysias stocks markets do not have the asymmetrical effect in the research data period. The empirical resultss also show that the Hong Kongs stocks market returns does not affect the variation risk of Thailands and Malaysias stocks markets. The Japans stocks market returns affects the variation risk of Malaysias stocks market. Based on the DCC [1], the DCC and the bivariate GARCH model have a better explanatory ability compared to the bivariate GARCH model with a constant conditional correlation.

An Influence of Canada Stock Market Factor on the Two Stock Market Returns: Study of the Hong Kong and the Singapore's Stock Markets

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH(1, 2) model is appropriate in evaluating the relationship of the Hong Kong and the Singapores stock markets. The empirical result also indicates that the Hong Kong and the Singapores stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.6619, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Hong Kong and the Singapores stock markets have an asymmetrical effect, and the variation risks of the Hong Kongs stock market return also receives the influence of the good and bad news in Hong Kong. And the variation risks of the Hong Kongs and the Singapores stock market return also receives the influence of the Canada stock market.

DCC Analysis of Two Exchange Rate Market Returns Volatility with a Factor of Switzerland Exchange Rate Market: Study of Japan and Korea Markets

This paper uses the Japans and the Koreas exchange rates with a factor of Switzerlands exchange rate market, discussing the model construction and their associations of between Japans and Koreas exchange rate markets. The empirical results show that the mutual affects of the Japans and Koreas exchange rate markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that between Koreas and Japans exchange rate market returns exists the positive relations- namely two exchange rate markets volatility are synchronized influence. Empirical result shows that the Japans exchange rates volatility will also affect the variation risk of the Koreas exchange rate market, and the Koreas exchange rates volatility will also affect the variation risk of the Japans exchange rate market. Also, Koreas and Japans exchange rate markets do not have the asymmetrical effect in the research data period. And the Switzerlands exchange rates volatility will also affect the variation risk of the Japans and the Koreas exchange rate markets.

Dynamic Associated Analysis of Two Stock Return Volatility with Two Factors of Japan and Hong Kong's Markets: Study of Thailand and Singapore Stock Markets

This paper uses the Thailand and the Singapores stock prices of material from January, 2001 to December, 2009, discussing the model construction and their associations of between Thailand and Singapores stock markets. The empirical results show that the mutual affects of the Thailand and the Singapores stock markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that between Thailand and Singapores stock market returns exists the positive relation- namely these two stock market returns volatility is synchronized influence, the average estimation value of the DCC coefficient of two stock market returns amounts to 0.4632. Also, Thailand and Singapores stock markets do not have the asymmetrical effect in the research data period. The variation risk of the Singapore stock market truly receives the influence of the Hong Kong stock market. But the variation risk of the Singapore stock market does not receive the influence of the Japan stock market. The variation risk of the Thailand stock market does not receive the influence of the Japan and the Hong Kong stock markets.

Dynamic relationship analysis of the two stock markets with a Canada stock market factor: Study of Italy and Germany countries

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AGARCH (1, 2) model appropriates in evaluating the relationship of the Italy and the Germanys stock markets. The empirical result also indicates that the Italy and the Germanys stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.878, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Italys and Germanys stock markets do have an asymmetrical effect. The return volatility of the Italys and Germanys stock markets receives the influence of the positive and negative of the Canadas stock return volatilities, and the variation risks of the Italys and Germanys stock market returns also receives the influence of the Canadas stock return volatilities. The explanation ability of the bivariate AGARCH (1, 1) is better than the bivariate IGARCH (1, 1) model.

Dynamic Associated Analysis of Japan's Stock Market and Exchange Rates: DCC and EGARCH Model

This paper studies the relatedness and the model construction of exchange rate volatility and the Japanese stock market returns. Empirical results show that we can construct a bivariate EGARCH(1, 2) model with a dynamic conditional correlation (DCC) to analyze the relationship of exchange rate volatility and Japans stock market returns. The average estimation value of the DCC coefficient for these two markets equals to 0.1375, this result indicates that the exchange rate volatility positively affects the Japanese stock market. Empirical result also shows that there exists an asymmetrical effect on the exchange rate and Japanese stock markets. Based on the good news and bad news of the stock market [1], the bivariate EGARCH(1, 2) model with a DCC has the better explanation ability compared to the bivariate GARCH(1, 1) model.