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

• Main Authors: Lee, Stan Shun Pinn, Kim, Leng Goh
• 格式: Article
• 语言: English
• 出版: Asian Academy of Management (AAM) 2016
• 主题: HD28-70 Management. Industrial Management
• 在线阅读: 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...