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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| フォーマット: | 論文 |
| 言語: | English |
| 出版事項: |
Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia
2010
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| オンライン･アクセス: | 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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