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Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model

Listed author(s):
  • Chen, Cathy W. S.
  • Chiang, Thomas C.
  • So, Mike K. P.

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File URL: http://www.sciencedirect.com/science/article/pii/S0148-6195(03)00051-1
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Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 55 (2003)
Issue (Month): 5-6 ()
Pages: 487-502

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Handle: RePEc:eee:jebusi:v:55:y:2003:i:5-6:p:487-502
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconbus

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  2. Sentana, Enrique & Wadhwani, Sushil B, 1992. "Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data," Economic Journal, Royal Economic Society, vol. 102(411), pages 415-425, March.
  3. Takatoshi Ito & Robert F. Engle & Wen-Ling Lin, 1990. "Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination," NBER Working Papers 3504, National Bureau of Economic Research, Inc.
  4. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
  5. Becker, Kent G. & Finnerty, Joseph E. & Friedman, Joseph, 1995. "Economic news and equity market linkages between the U.S. and U.K," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1191-1210, October.
  6. Baillie, R.T. & Degennaro, R.P., 1988. "Stock Returns And Volatility," Papers 8803, Michigan State - Econometrics and Economic Theory.
  7. Cheung, Yin-Wong & Ng, Lilian K, 1992. " Stock Price Dynamics and Firm Size: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 47(5), pages 1985-1997, December.
  8. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
  9. Engle, Robert F & Susmel, Raul, 1993. "Common Volatility in International Equity Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 167-176, April.
  10. Li, C W & Li, W K, 1996. "On a Double-Threshold Autoregressive Heteroscedastic Time Series Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 253-274, May-June.
  11. Cathy W. S. Chen & Mike K. P. So & Ming-Tien Chen, 2005. "A Bayesian threshold nonlinearity test for financial time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(1), pages 61-75.
  12. 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.
  13. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  14. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
  15. Masih, Rumi & Masih, Abul M. M., 2001. "Long and short term dynamic causal transmission amongst international stock markets," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 563-587, August.
  16. Kim, S.W. & Rogers, J.H., 1993. "International Stock Price Spillovers and Market Liberalization: Evidence from Korea, Japan, and the United States," Papers 4-93-7, Pennsylvania State - Department of Economics.
  17. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
  18. Gregory Koutmos, 1999. "Asymmetric Price and Volatility Adjustments in Emerging Asian Stock Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1-2), pages 83-101.
  19. Koutmos, Gregory & Booth, G Geoffrey, 1995. "Asymmetric volatility transmission in international stock markets," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 747-762, December.
  20. Chiang, Thomas C & Doong, Shuh-Chyi, 2001. "Empirical Analysis of Stock Returns and Volatility: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model," Review of Quantitative Finance and Accounting, Springer, vol. 17(3), pages 301-318, November.
  21. Chen, Cathy W. S., 1998. "A Bayesian analysis of generalized threshold autoregressive models," Statistics & Probability Letters, Elsevier, vol. 40(1), pages 15-22, September.
  22. Arshanapalli, Bala & Doukas, John & Lang, Larry H. P., 1997. "Common volatility in the industrial structure of global capital markets," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 189-209, April.
  23. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
  24. Chiang, Thomas C & Chiang, Jeannette Jin, 1996. "Dynamic Analysis of Stock Return Volatility in an Integrated International Capital Market," Review of Quantitative Finance and Accounting, Springer, vol. 6(1), pages 5-17, January.
  25. Koutmos, Gregory, 1997. "Do emerging and developed stock markets behave alike? Evidence from six pacific basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 221-234, October.
  26. 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.
  27. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
  28. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  29. Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-553, July.
  30. Chen, Cathy W.S. & So, Mike K.P., 2006. "On a threshold heteroscedastic model," International Journal of Forecasting, Elsevier, vol. 22(1), pages 73-89.
  31. Damodaran, Aswath, 1993. " A Simple Measure of Price Adjustment Coefficients," Journal of Finance, American Finance Association, vol. 48(1), pages 387-400, March.
  32. Koutmos, Gregory, 1998. "Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets," Journal of Economics and Business, Elsevier, vol. 50(3), pages 277-290, May.
  33. Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1805-1827, October.
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