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Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO

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  • Chia-Lin Chang
  • Biing-Wen Huang
  • Meng-Gu Chen
  • Michael McAleer

    ()
    (University of Canterbury)

Abstract

Prices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily hog prices in Taiwan from 23 March 1999 to 30 June 2007, which enables an analysis of the effects of joining the WTO. The empirical results have significant implications for risk management and policy in the agricultural industry. The three sub-samples for the periods before, during and after joining the WTO display significantly different volatility persistence of symmetry, asymmetry and leverage, respectively.

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File URL: http://www.econ.canterbury.ac.nz/RePEc/cbt/econwp/1039.pdf
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Bibliographic Info

Paper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 10/39.

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Length: 37 pages
Date of creation: 01 May 2010
Date of revision:
Handle: RePEc:cbt:econwp:10/39

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Keywords: Hog prices; joining the WTO; conditional volatility models; asymmetry; leverage; moment conditions;

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Cited by:
  1. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry," Working Papers in Economics 13/27, University of Canterbury, Department of Economics and Finance.
  2. Chang, Chia-Lin & Hsu, Hui-Kuang, 2013. "Modelling Volatility Size Effects for Firm Performance: The Impact of Chinese Tourists to Taiwan," MPRA Paper 45691, University Library of Munich, Germany.

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