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Reexamination of stock price reaction to environmental performance: A GARCH application

✍ Scribed by Keiko Yamaguchi

Book ID
113575606
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
248 KB
Volume
68
Category
Article
ISSN
0921-8009

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The asymmetric reactions of mean and vol
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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