کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063275 1476684 2013 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Global and regional range-based volatility spillover effects
ترجمه فارسی عنوان
اثرات ناشی از نوسانات بر مبنای محدوده جهانی و منطقه ای
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی

This study extends the univariate Weibull conditional autoregressive range (CARR) model to establish a bivariate Weibull CARR (BWCARR) model to investigate the range-based volatility spillover effect. The empirical results indicate that a conditional autoregressive range relationship exists on the US, Japan, mainland China, Hong Kong and Taiwan stock markets. The new BWCARR model is more credible and efficient than the CARR model. Moreover, the range-based volatility for the US and Japan has an impact on Taiwan, indicating that there exists a range-based global and regional stock market spillover effect that has an impact on the Taiwanese stock market.

► This study establishes a bivariate Weibull conditional autoregressive range model. ► To investigate the range-based volatility spillover effect by BWCARR approach. ► The global and regional range-based volatility spillover effects.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Emerging Markets Review - Volume 14, March 2013, Pages 1-10
نویسندگان
,