Expected return and volatility spillover among the stock markets of the Philippines, ASEAN, China, Japan, EU and US: Multivariate GARCH-BEKK approach and its use in dynamic portfolio optimization

• Main Author: Co, Manuelito F.
• Format: text
• Language: English
• Published: Animo Repository 2014
• Online Access: https://animorepository.dlsu.edu.ph/etd_masteral/4745
• Institution: De La Salle University

The study aims to examine the interactions of stock return movements and integration among the stock markets of the Philippines, ASEAN, China, Japan, European Union and the United States by determining and measuring the direction and magnitude of transmission of expected return and volatility of dai...