The Impact of Depreciation Expectations on Stock Returns and Volatility over the Asian Financial Crisis
| Autor: | Tseng Yen-Cheng, 曾炎城 |
|---|---|
| Rok vydání: | 1999 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 87 This paper postulates that expected depreciation helps to predict stock market returns and volatility over the Asian financial crisis, characterized by unstable stock and foreign exchange markets since July 1997. Using daily data as an example, the estimated GARCH(1，1) model documents significantly a negative depreciation effect with no heteroskedasticity in the stock return process in Singapore, South Korea and Taiwan, suggesting that the expected depreciation is a cause of the time-varying variance. Hong Kong has successfully maintained its exchange rates constant, but the uncertainty of depreciation expectations significantly causes the stock market volatility. The evidence for the negative depreciation effects in the stock market suggests cautious attitude towards empirical analysis of a small open stock market based on the standard mean-variance model concerning only behavior of the stock market itself. Furthermore, international-funds managers who plan to invest the Asian newly emerging stock markets have to evaluate stock and foreign exchange markets simultaneously to avoid biased judgement. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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