Modelling the Assymetry of Stock Market Volatility
AbstractRecent studies suggest that a negative shock to stock prices will generate more volatility than a positive shock of equal magnitude. This paper uses daily data from the Hong Kong Stock Exchange to illustrate the nature of stock market volatility. Regression-based tests for integration in variance are applied, providing contrasting results to the usual test based on the Wald statistic. A partially non-parametric model of the relationship between news and volatility is estimated and used in conjunction with tests for the sensitivity to both the size and sign of a shock as a metric to judge various candidate characterizations of the underlying data generating process.
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Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 487.
Length: 22 pages
Date of creation: 1995
Date of revision:
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- Olan Henry, 1998. "Modelling the asymmetry of stock market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 145-153.
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- Olan T. Henry & Michael McKenzie, 2004.
"The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong,"
032004, Hong Kong Institute for Monetary Research.
- Olan T. Henry & Michael McKenzie, 2003. "The Impact of Short Selling on the Price–Volume Relationship: Evidence from Hong Kong," Department of Economics - Working Papers Series 869, The University of Melbourne.
- O.T. Henry & S. Suardi, 2005. "Testing For Asymmetry In Interest Rate Volatility In The Presence Of A Neglected Level Effect," Department of Economics - Working Papers Series 945, The University of Melbourne.
- Grier, K.B. & Henry, O.T. & Olekalns, N., 2001. "The Effects of Uncertainty on Macroeconomic Performance: The Importance of the Conditional Covariance Model," Department of Economics - Working Papers Series 818, The University of Melbourne.
- Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 272-286.
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- Paul D. McNelis & Carrie K.C. Chan, 2004. "Deflationary Dynamics in Hong Kong: Evidence from Linear and Neural Network Regime Switching Models," Working Papers 212004, Hong Kong Institute for Monetary Research.
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- Brooks, C. & Henry, O.T., 2000. "The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market," Department of Economics - Working Papers Series 733, The University of Melbourne.
- Brooks, C. & Henry, O.T., 1999.
"Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models,"
Department of Economics - Working Papers Series
723, The University of Melbourne.
- Brooks, Chris & Henry, Olan T., 2000. "Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models," Economics Letters, Elsevier, vol. 67(3), pages 245-251, June.
- Hyytinen, Ari, 1999. "Stock Return Volatility on Scandinavian Stock Markets and the Banking Industry," Research Discussion Papers 19/1999, Bank of Finland.
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