Do, Giam Quang; Mcaleer, Michael; Sriboonchitta, Songsak - In: Economics Bulletin 29 (2009) 2, pp. 599-610
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...