Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets
AbstractThis paper examines behaviors of returns and volatility of ASEAN emerging stock markets (Indonesia, Malaysia, Philippines, Thailand and Vietnam), incorporating with the effects from the international gold market. The estimates of GARCH(1,1) and GJR(1,1) for these stock markets indicate that the GJR(1,1) model is preferred to GARCH(1,1), except Vietnam. However, under the exogenous effects from international gold market such as the 1 day lagged returns and the 1 day lagged volatility of gold, the GARCH(1,1)-X model captures better stock market volatility behavior than GJR(1,1)-X, except Indonesia. Interestingly, gold could be a substitute commodity for stocks in Vietnam and the Philippines, while it could be a complement for stocks in Indonesia, Thailand and Malaysia.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 29 (2009)
Issue (Month): 2 ()
Contact details of provider:
Volatility; GARCH-X; Gold effects; ASEAN emerging stock markets;
Find related papers by JEL classification:
- G0 - Financial Economics - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Shiqing Ling & Michael McAleer, 2001.
"Stationarity and the Existence of Moments of a Family of GARCH Processes,"
ISER Discussion Paper
0535, Institute of Social and Economic Research, Osaka University.
- Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Solt, Michael E & Swanson, Paul J, 1981. "On the Efficiency of the Markets for Gold and Silver," The Journal of Business, University of Chicago Press, vol. 54(3), pages 453-78, July.
- Jeantheau, Thierry, 1998. "Strong Consistency Of Estimators For Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 14(01), pages 70-86, February.
- Tully, Edel & Lucey, Brian M., 2007. "A power GARCH examination of the gold market," Research in International Business and Finance, Elsevier, vol. 21(2), pages 316-325, June.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.