Stock Return, Volatility and Country Credit Risk: The Asia-Pacific Markets
| Autor: | Warren F.L. Chen, 陳豐隆 |
|---|---|
| Rok vydání: | 1999 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 87 For the recent years, the global financial environment has been changing rapidly, which reminds qualified foreign institutional investors of more caution. This survey focuses on the relationship between stock returns, volatility and country credit rating changes among countries in the Asia-Pacific Basin. This research further divides the 12 sample countries into two categories, developed markets and emerging ones, and finds out the differences between both groups. The empirical methods used here are intervention analysis and impulse response analysis. The empirical results are as follows: 1. The stock return and its volatility do not have statistically significant relation in both developed markets and emerging ones, which coincides with the conclusion by Baillie and Degennaro(1990). 2. The impact of changes in country credit level on stock returns will work within one month; that is to say, changes in country credit level this month will affect stock returns of the current month. 3. Country credit change has no impact on stock returns of the developed markets. 4. Changes in country credit levels of the emerging markets have apparent influence on their stock returns but no identical signs. This may result from the common barriers existed in the emerging markets for foreign investors. 5. The impulse response analysis doesn''t have an apparent and agreeable result owing to the constraint of rare data. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|