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Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness

Hashmi, Aamir R.; Tay, Anthony S. - Department of Economics, National University of Singapore - 2001

This study examines the influence of global and regional factors on the conditional distribution of stock returns from six Asian markets, using factor models in which unexpected returns comprise global, regional and local shocks. Besides conditional heteroskedasticity, the models allow shocks to...

Persistent link: https://www.econbiz.de/10005518284

A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction

Lam, Kin; Liu, Taisheng; Wong, Wing Keung - In: European journal of operational research : EJOR 203 (2010) 1, pp. 166-175

Persistent link: https://www.econbiz.de/10003928191

The magnitude effect in the over-and under-correction in international markets

Lam, Kin; Liu, Taisheng; Wong, Wing Keung - In: The international journal of finance 20 (2008) 3, pp. 4833-4862

Persistent link: https://www.econbiz.de/10009130414

Profiteering from the dot-com bubble, sub-prime crisis and Asian financial crisis

McAleer, Michael; Suen, John; Wong, Wing Keung - 2013

Persistent link: https://www.econbiz.de/10009767005

Profiteering from the dot-com bubble, sub-prime crisis and Asian financial crisis

McAleer, Michael; Suen, John; Wong, Wing Keung - 2013

Persistent link: https://www.econbiz.de/10009771105

Profiteering from the dot-com bubble, sub-prime crisis and Asian financial crisis

McAleer, Michael; Suen, John; Wong, Wing Keung - 2013

Persistent link: https://www.econbiz.de/10009754991

New evidence on the relation between return volatility and trading volume

Chiang, Thomas C.; Qiao, Zhuo; Wong, Wing Keung - In: Journal of forecasting 29 (2010) 5, pp. 502-515

Persistent link: https://www.econbiz.de/10008934874

Examining stock volatility in the segmented Chinese stock markets : a SWARCH approach

Qiao, Zhuo; Qiao, Weiwei; Wong, Wing Keung - In: Global economic review 39 (2010) 3, pp. 225-246

Persistent link: https://www.econbiz.de/10008936717

The modified mixture of distributions model : a revisit

Fong, Wai-mun; Wong, Wing Keung - In: Annals of finance 2 (2006) 2, pp. 167-178

Persistent link: https://www.econbiz.de/10003282228

Revisit of the volume versus GARCH effects by univariate and bivariate GARCH models : evidence from US stock markets

Wong, Wing Keung; Penm, Jack H. W.; Qiao, Zhuo - In: International economics & finance journal : (IEFJ) 1 (2006) 1, pp. 47-66

Persistent link: https://www.econbiz.de/10003791143

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