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Short-horizon asymmetry in conditional mean of ASEAN stock market returns

This paper describes the return patterns of six ASEAN markets(Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam)using an autoregressive exponential GARCH-in mean model,also known as AR-EGARCH(1, 1)-M. Estimating the model for each market using daily data from August 2000 to May...

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Main Author: Ibrahim, Mansor
Format: Article
Language:English
Published: Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia 2010
Online Access:http://psasir.upm.edu.my/id/eprint/22740/1/Short.pdf
http://psasir.upm.edu.my/id/eprint/22740/
http://web.usm.my/journal/aamjaf/vol6_2_2010.html
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spelling my.upm.eprints.227402017-07-11T01:31:35Z http://psasir.upm.edu.my/id/eprint/22740/ Short-horizon asymmetry in conditional mean of ASEAN stock market returns Ibrahim, Mansor This paper describes the return patterns of six ASEAN markets(Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam)using an autoregressive exponential GARCH-in mean model,also known as AR-EGARCH(1, 1)-M. Estimating the model for each market using daily data from August 2000 to May 2010, we find these markets generally have quick mean-reversion speeds but quite distinct patterns of return dynamics. In the Indonesian market, the evidence seems to strongly suggest asymmetric mean reversion and overreaction of the market during downturns. The Vietnamese market exhibits the most persistent return autocorrelation with some evidence pointing to higher persistence during market downturns. While there seems to be no asymmetric pattern in the return adjustment of the Malaysian and Filipino markets, there is no evidence indicating significant serial correlation in the markets of Singapore and Thailand. Thus, technical trading strategies are applicable for the markets of Indonesia and Vietnam only. Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia 2010 Article NonPeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/22740/1/Short.pdf Ibrahim, Mansor (2010) Short-horizon asymmetry in conditional mean of ASEAN stock market returns. Asian Academy of Management Journal of Accounting and Finance, 6 (2). pp. 115-128. ISSN 1823-4992; ESSN: 2180-4192 http://web.usm.my/journal/aamjaf/vol6_2_2010.html
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description This paper describes the return patterns of six ASEAN markets(Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam)using an autoregressive exponential GARCH-in mean model,also known as AR-EGARCH(1, 1)-M. Estimating the model for each market using daily data from August 2000 to May 2010, we find these markets generally have quick mean-reversion speeds but quite distinct patterns of return dynamics. In the Indonesian market, the evidence seems to strongly suggest asymmetric mean reversion and overreaction of the market during downturns. The Vietnamese market exhibits the most persistent return autocorrelation with some evidence pointing to higher persistence during market downturns. While there seems to be no asymmetric pattern in the return adjustment of the Malaysian and Filipino markets, there is no evidence indicating significant serial correlation in the markets of Singapore and Thailand. Thus, technical trading strategies are applicable for the markets of Indonesia and Vietnam only.
format Article
author Ibrahim, Mansor
spellingShingle Ibrahim, Mansor
Short-horizon asymmetry in conditional mean of ASEAN stock market returns
author_facet Ibrahim, Mansor
author_sort Ibrahim, Mansor
title Short-horizon asymmetry in conditional mean of ASEAN stock market returns
title_short Short-horizon asymmetry in conditional mean of ASEAN stock market returns
title_full Short-horizon asymmetry in conditional mean of ASEAN stock market returns
title_fullStr Short-horizon asymmetry in conditional mean of ASEAN stock market returns
title_full_unstemmed Short-horizon asymmetry in conditional mean of ASEAN stock market returns
title_sort short-horizon asymmetry in conditional mean of asean stock market returns
publisher Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia
publishDate 2010
url http://psasir.upm.edu.my/id/eprint/22740/1/Short.pdf
http://psasir.upm.edu.my/id/eprint/22740/
http://web.usm.my/journal/aamjaf/vol6_2_2010.html
_version_ 1643827883942084608
score 13.211869

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