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| Author: | So, M. K. P. Lam, K. Li, W. K. |
| Title: | An empirical study of volatility in seven Southeast Asian stock markets using ARV models |
| Journal: | Journal of Business Finance and Accounting
1997 : MAR, VOL. 24:2, p. 261-275 |
| Index terms: | STOCK MARKETS VOLATILITY ASIA TAIWAN HONG KONG MALAYSIA |
| Language: | eng |
| Abstract: | This study examines the volatility persistence, volatility variability from day to day and transmission of volatility in Southeast Asian stock markets using the ARV approach. The Stock Exchange of Thailand Daily Index has a strong interday volatility fluctuation, and evidence was found that shocks to volatility are persistent in Taiwan. Instantaneous causality of volatility among markets was discovered, and there is a volatility spillover effect from Hong Kong to Taiwan, Malaysia to Singapore and Singapore to Malaysia in period of 1980-1991. |
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