IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Variation of interest-rate parity and its asymmetry on stock return in a jump-diffusion process

  • Jer-Shiou Chiou
  • Pei-Shan Wu
  • Ming-Chih Lee
Registered author(s):

    Two-stage methodology is developed to verify how the unanticipated asymmetry variations affect the stock returns. A GARCH model is investigated on residuals from a CIP identification followed by an ARJI model examination of the stock return. Consequently, a negative exogenous change can result of a more downward impact on stock return. Although this exogenous change is environmental, it could be implicated in macro-data. Because of the similarity in politics and economics, Korea and Taiwan were considered. Based upon the derivation of CIP, stock returns are found to be asymmetrically sensitive to the environment. The conditional jumps are larger than those where the news is of no substance. The findings demonstrate the importance of the stability.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447495
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 16 (2006)
    Issue (Month): 17 ()
    Pages: 1309-1316

    as
    in new window

    Handle: RePEc:taf:apfiec:v:16:y:2006:i:17:p:1309-1316
    Contact details of provider: Web page: http://www.tandfonline.com/RAFE20

    Order Information: Web: http://www.tandfonline.com/pricing/journal/RAFE20

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Persson, Torsten & Tabellini , Guido, 1997. "Political Economics and Macroeconomic Policy," Seminar Papers 630, Stockholm University, Institute for International Economic Studies.
    2. Guillermo A. Calvo & Allan Drazen, 1997. "Uncertain Duration of Reform: Dynamic Implications," NBER Working Papers 5925, National Bureau of Economic Research, Inc.
    3. Gyan Pradhan & Zeljan Schuster & Kamal Upadhyaya, 2004. "Exchange rate uncertainty and the level of investment in selected South-east Asian countries," Applied Economics, Taylor & Francis Journals, vol. 36(19), pages 2161-2165.
    4. David M. Cutler & James M. Poterba & Lawrence H. Summers, 1988. "What Moves Stock Prices?," NBER Working Papers 2538, National Bureau of Economic Research, Inc.
    5. John H. Boyd & Jian Hu & Ravi Jagannathan, 2005. "The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks," Journal of Finance, American Finance Association, vol. 60(2), pages 649-672, 04.
    6. Robert Brooks & Vanitha Ragunathan, 2003. "Returns and volatility on the Chinese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 747-752.
    7. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:16:y:2006:i:17:p:1309-1316. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.