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.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 33 (2001)
Issue (Month): 7 ()
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- 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,"
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