Dynamics Of Stock Market Return Volatility: Evidence From The Daily Data Of India And Japan

This paper studies the dynamics of stock market return volatility of India and Japan. The TGARCH-M model is implemented. These markets are impacted asymmetrically by bad news and good news. The return volatility persists in both countries. [PUBLICATION ABSTRACT]

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Bibliographic Details
Published inThe international business & economics research journal Vol. 9; no. 5; pp. 79 - 83
Main Authors Mishra, Banamber, Rahman, Matiur
Format Journal Article
LanguageEnglish
Published Littleton The Clute Institute 01.05.2010
Subjects
Dynamics
Econometrics
Economic theory
Emerging markets
Empirical research
Hypotheses
India
Investments
Japan
Kurtosis
New stock market listings
Rates of return
Risk premiums
Securities markets
Skewness
Standard deviation
Stochastic models
Stock exchange
Stock exchanges
Stock returns
Studies
Time series
Volatility
Japan
India
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Summary:This paper studies the dynamics of stock market return volatility of India and Japan. The TGARCH-M model is implemented. These markets are impacted asymmetrically by bad news and good news. The return volatility persists in both countries. [PUBLICATION ABSTRACT]
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:1535-0754
2157-9393
DOI:10.19030/iber.v9i5.571