Stock return process and expected depreciation over the Asian financial crisis
AbstractThe Asian financial crisis has been characterized by unstable stock and foreign exchange markets in Asia since July 1997. This paper postulates that expected depreciation helps to predict stock market volatility over the turmoil period. Using Taiwan daily data as an example, the estimated ARCH(3)-M model documents significantly a negative depreciation effect with no heteroscedasticity in the stock return process, suggesting that the expected depreciation is a cause of the changing variance. The evidence further shows that the stock market volatility has increased during the period of the Asian financial crisis 1997-1998, but the corresponding time-varying risk premium has remained unchanged.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics.
Volume (Year): 33 (2001)
Issue (Month): 7 ()
Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/00036846.html
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Abdul Hakim & Michael McAleer, 2010.
"Modelling the interactions across international stock, bond and foreign exchange markets,"
Taylor and Francis Journals, vol. 42(7), pages 825-850.
- Abdul Hakim & Michael McAleer, 2009. "Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets," CARF F-Series CARF-F-170, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Abdul Hakim & Michael McAleer, 2009. "Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets," CIRJE F-Series CIRJE-F-663, CIRJE, Faculty of Economics, University of Tokyo.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008.
"Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience,"
2008-49, University of Connecticut, Department of Economics.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers 0905, University of Nevada, Las Vegas , Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
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.