Big Data

Measuring The Common Component Of Stock Market Fluctuations In The Asia-Pacific Region

Download Now Date Added: Mar 2010
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This paper fits Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) models to the daily closing stock market indices of Australia, China, Hong Kong, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore, and Taiwan to compute for time-varying weights associated with the volatilities of individual indices. These weights and the returns of the various indices were then used to determine the common component of stock market returns. The results suggest that a common component of the Asia-Pacific stock market returns exists, which significantly explains the individual country's stock market returns.