Regional And International Linkages Of The Asean-5 Stock Markets: A Multivariate Garch Approach

• المؤلفون الرئيسيون: Lee, Stan Shun Pinn, Kim, Leng Goh
• التنسيق: مقال
• اللغة: English
• منشور في: Asian Academy of Management (AAM) 2016
• الموضوعات: HD28-70 Management. Industrial Management
• الوصول للمادة أونلاين: http://eprints.usm.my/37433/1/aamjaf120116_03.pdf; http://eprints.usm.my/37433/; http://web.usm.my/journal/aamjaf/12-1-3-2016.html

This paper examines the linkages among the ASEAN-5 stock exchanges, and their relationship with the Hong Kong and U.S. markets by using the multivariate GARCH approach for the period before and after the global financial crisis. The mean and volatility spillover effects are analysed. The mean, pa...