Correlation of returns and volatility among US, Japan, and Asian equity markets.

Description

by Cheung Chan-Wah. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 80-86). / ABSTRACT --- p.ii / TABLF OF CONTENTS --- p.iii / LIST OF TABLES --- p.iv / ACKNOWLEDGMENTS --- p.v / Chapter / Chapter I --- INTRODUCTION l --- p.1 / Chapter II. --- REVIEW OF LITERATURE --- p.7 / Chapter III. --- METHODOLOGY。 --- p.16 / Summary Statistics --- p.16 / Correlation --- p.21 / GARCH Estimation --- p.22 / Chapter IV. --- NATIONAL MARKET INDEX AND DATA --- p.31 / National Stock Indices and Trading Mechanisms --- p.31 / Stock Return Data and Data Transformation --- p.34 / Chapter V. --- EMPIRICAL RESULTS --- p.37 / Summary Statistics --- p.37 / Cross-Correlation --- p.45 / GARCH Estimation --- p.51 / Chapter VI. --- SUMMARY AND CONCLUSION --- p.75 / BIBLIOGRAPHY --- p.80

Links & Downloads

1. cuhk:323323
2. http://library.cuhk.edu.hk/record=b5890561
3. http://repository.lib.cuhk.edu.hk/en/item/cuhk-323323

Tags

Stock exchanges--Mathematical models

Rate of return--Mathematical models

Additional Fields

Identifer	oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_323323
Date	January 2001
Contributors	Cheung, Chan-Wah., Chinese University of Hong Kong Graduate School. Division of Business Administration.
Source Sets	The Chinese University of Hong Kong
Language	English
Detected Language	English
Type	Text, bibliography
Format	print, v, 86 leaves ; 30 cm.
Rights	Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)