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Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia

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  • Leeves, Gareth

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  • 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.
  • Handle: RePEc:eee:reveco:v:16:y:2007:i:2:p:272-286
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    1. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
    2. Caporale, Guglielmo Maria & Pittis, Nikitas & Spagnolo, Nicola, 2002. "Testing for Causality-in-Variance: An Application to the East Asian Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 235-245, July.
    3. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    4. De Santis, Giorgio & imrohoroglu, Selahattin, 1997. "Stock returns and volatility in emerging financial markets," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 561-579, August.
    5. Psaradakis, Z. & Tzavalis, E., 1995. "Regression-Based Tests for Persistence in Conditional Variances," Discussion Papers 9501, Exeter University, Department of Economics.
    6. 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.
    7. Olan Henry, 1998. "Modelling the asymmetry of stock market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 145-153.
    8. Edison, Hali & Reinhart, Carmen M., 2001. "Stopping hot money," Journal of Development Economics, Elsevier, vol. 66(2), pages 533-553, December.
    9. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    10. Ratanapakorn, Orawan & Sharma, Subhash C., 2002. "Interrelationships among regional stock indices," Review of Financial Economics, Elsevier, vol. 11(2), pages 91-108.
    11. Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
    12. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
    13. Wenshwo Fang, 2002. "The effects of currency depreciation on stock returns: evidence from five East Asian economies," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 195-199.
    14. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136.
    15. Edwards, Sebastian & Susmel, Raul, 2001. "Volatility dependence and contagion in emerging equity markets," Journal of Development Economics, Elsevier, pages 505-532.
    16. Pan, Ming-Shiun & Liu, Y. Angela & Roth, Herbert J., 1999. "Common stochastic trends and volatility in Asian-Pacific equity markets," Global Finance Journal, Elsevier, vol. 10(2), pages 161-172.
    17. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(03), pages 318-334, September.
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    Cited by:

    1. Manish Kumar, 2011. "Return and volatility spillovers: evidence from Indian exchange rates," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 3(4), pages 371-387.
    2. Liu, Hung-Chun & Chiang, Shu-Mei & Cheng, Nick Ying-Pin, 2012. "Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 78-91.
    3. Su, Jung-Bin & Lee, Ming-Chih & Chiu, Chien-Liang, 2014. "Why does skewness and the fat-tail effect influence value-at-risk estimates? Evidence from alternative capital markets," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 59-85.
    4. Wang, Shin-Yun & Lin, Shih-Kuei, 2010. "The pricing and hedging of structured notes with systematic jump risk: An analysis of the USD knock-out reversed swap," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 106-118, January.
    5. Eymen Errais & Dhikra Bahri, 2016. "Is Standard Deviation a Good Measure of Volatility? the Case of African Markets with Price Limits," Annals of Economics and Finance, Society for AEF, vol. 17(1), pages 145-165, May.
    6. Chen, Yi-Hsuan & Tu, Anthony H., 2013. "Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 514-528.
    7. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, vol. 28(2), pages 384-399.
    8. Mensi, Walid & Beljid, Makram & Boubaker, Adel & Managi, Shunsuke, 2013. "Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold," Economic Modelling, Elsevier, vol. 32(C), pages 15-22.
    9. Kao, Lie-Jane & Wu, Po-Cheng & Lee, Cheng-Few, 2012. "Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 115-129.
    10. Bask, Mikael, 2010. "Measuring potential market risk," Journal of Financial Stability, Elsevier, vol. 6(3), pages 180-186, September.
    11. Abdul Qayyum & Muhammad Arshad Khan, 2014. "Dynamic Relationship and Volatility Spillover between the Stock Market and the Foreign Exchange Market in Pakistan: Evidence from VAR-EGARCH Modelling," PIDE-Working Papers 2014:103, Pakistan Institute of Development Economics.
    12. Bask, Mikael, 2007. "Measuring potential market risk," Research Discussion Papers 20/2007, Bank of Finland.
    13. Huang, Alex YiHou & Peng, Sheng-Pen & Li, Fangjhy & Ke, Ching-Jie, 2011. "Volatility forecasting of exchange rate by quantile regression," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 591-606, October.
    14. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2008. "Volatility forecasting using threshold heteroskedastic models of the intra-day range," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2990-3010, February.
    15. Lucía de las Nieves Morales, 2008. "Volatility Spillovers between Equity and Currency Markets: Evidence from Major Latin American Countries," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 185-215.
    16. repec:ebl:ecbull:eb-17-00029 is not listed on IDEAS

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