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Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model

โœ Scribed by Cathy W.S. Chen; Thomas C. Chiang; Mike K.P. So


Book ID
117320591
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
144 KB
Volume
55
Category
Article
ISSN
0148-6195

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The asymmetric reactions of mean and vol
โœ Cathy W.S. Chen; Ming Jing Yang; Richard Gerlach; H. Jim Lo ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 281 KB

In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both the c