On the robustness of international portfolio diversification benefits to regime-switching volatility

The asymmetric reactions of mean and vol

The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model

✍ Cathy W.S. Chen; Ming Jing Yang; Richard Gerlach; H. Jim Lo 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 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