This paper examines autocorrelation and cross-autocorrelation patterns for selected Asian stock returns. Special attention is given to examination of Asian stock returns and the impact on them of the past information. By employing a class of asymmetric specification of conditional mean and...

The paper applies the two-stage GJR-GARCH model to investigate the intra-day return and volatility transmission behavior between ADRs and their underlying stocks using data from Japan, Taiwan, Korea, Hong Kong, and Singapore. Empirical results show that the return transmission of ADRs and their...

This paper investigates the time-series behavior of stock returns for seven Asian stock markets. In most cases, higher average returns appear to be associated with a higher level of volatility. Testing the relationship between stock returns and unexpected volatility, the evidence shows that four...

This study examines the effects of social, financial, and human capital on the financial performance (i.e., Tobin's q) of Taiwanese firms in 2007. We find that social capital, as measured by total lending and borrowing among related-party transactions, has a positive effect on a firm's value....

This article examined the interaction between stock price and exchange rate and explored their dynamic correlation influenced by the stock market volatility. We used newly developed Smooth Transition Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (STCC-GARCH)...

This paper explores the nature of the mean and volatility transmission mechanism between stock and foreign exchange markets for the G-7 countries. Empirical evidence supports the asymmetric volatility spillover effect and shows that movements of stock prices will affect future exchange rate...

This paper constructs a multivariate model in relating multi-asset excess returns to their conditional variances. Applying weekly data to investigate the foreign-exchange risk premium, the evidence from a multivariate GARCH model shows that the foreign-exchange excess returns are significantly...

Built on a consumption-based capital asset pricing model, this paper presents a coherent theoretical framework from which the main international parity conditions are derived. These conditions represent market equilibria characterized by the equality of gross returns after adjustment for risk...

This paper examines the dynamic correlation structure between A-share and B-share stock returns based on three different measures of correlation coefficients. Testing the models by employing daily stock-return data for the period from 1996 through 2003, we reach the following empirical...