Effects of international gold market on stock exchange volatility: Evidence from asean emerging stock markets

• المؤلفون الرئيسيون: Giam Quang Do, Michael Mcaleer, Songsak Sriboonchitta
• التنسيق: دورية
• منشور في: 2018
• الموضوعات: Economics, Econometrics and Finance
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=77953493192&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/49038
• المؤسسة: Chiang Mai University

This paper examines behaviors of returns and volatility of ASEAN emerging stock markets (Indonesia, Malaysia, Philippines, Thailand and Vietnam), incorporating with the effects from the international gold market. The estimates of GARCH(1,1) and GJR(1,1) for these stock markets indicate that the GJR(...