An Empirical Study of Volatility in Seven Southeast Asian Stock Markets Using ARV Models
使用ARV方法研究1980至1991年七个东南亚股市的波动持续性、日间波动变化及波动传导，发现台湾波动冲击持久、泰国日间波动最强，并揭示六市间瞬时因果关系及香港至台湾等地的波动溢出效应。
This paper investigates the volatility persistence, volatility variability from day to day and transmission of volatility in seven Southeast Asian stock markets from 1980 to 1991 using the ARV approach. We found strong evidence that shocks to volatility are persistent in Taiwan. Moreover, the Stock Exchange of Thailand Daily Index has the strongest interday volatility fluctuation. Instantaneous causality of volatility among six of the seven markets (except Seoul) was discovered. Besides, there is significant volatility spillover effect from Hong Kong to Taiwan, Malaysia to Singapore and Singapore to Malaysia in the period 1980 to 1991.