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The interaction and volatility asymmetry of unexpected returns in the greater China stock markets
Yeh, Yin-hua
;
Lee, Tsun-siou
- In:
Global finance journal
11
(
2000
)
1/2
,
pp. 129-149
Persistent link: https://www.econbiz.de/10001545847
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The Interaction and Volatility Asymmetry of Unexpected Returns in the Greater China Stock Market - The response of investors to unexpected returns and the information transmission in the stock market of the Greater China area are investigated in this study. Firstly, we analyze the asymmetric reaction of return volatility to good and bad rows by utilizing GARCH model. We find that the impact of bad ...
Yeh, Yin-Hua
;
Lee, Tsun-Siou
- In:
Global finance journal
11
(
2000
)
1-2
,
pp. 129-150
Persistent link: https://www.econbiz.de/10007673729
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