An Analysis of Long Memory in Volatility for Asian Stock Markets
學年 89
學期 1
出版(發表)日期 2000-09-01
作品名稱 An Analysis of Long Memory in Volatility for Asian Stock Markets
著者 Chung, Huimin; Lin, William T.; Wu, Soushan
單位 淡江大學財務金融學系
出版者 World Scientific Center, Center for PBBEF Research
著錄名稱、卷期、頁數 Review of pacific basin financial markets and policies 3(3), pp.309-330
摘要 One of the important questions in studies of asset return and volatility has been how long the effects of shocks persist. In this article, the modified R/S statistic of Lo (1991) and the robust semiparametric method of Lobato and Robinson (1997) are applied to investigate the long memory properties in return and volatility of Asian financial markets. For the return series, we find little evidence of long memory, while the empirical results support the hypothesis of long memory in volatility for Asia-Pacific stock markets. We also discuss the possible causes of spurious long memory effect in volatility, namely aggregation, size distortion, and shifts in variance. Our empirical evidence shows that spurious long memory effect in volatility might occur as a result of shifts in variance for some Asian stock markets.
關鍵字 long memory in volatility;structure shifts in variance;Asia Pacific stock markets
語言 en
ISSN 0219-0915
期刊性質 國內
國別 TWN
出版型式 ,電子版

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