Abstract
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AIGARCH (1, 1) model is appropriate in evaluating the relationship of the Taiwan’s and the Korea’s stock markets. The empirical result also indicates that the Taiwan’s and the Korea’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.6554, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Taiwan’s and the Korea’s stock markets have an asymmetrical effect. The return volatility of the Taiwan and the Korea stock markets receives the influence of the positive and negative values of the Japan and the U.S. stock return volatilities. Under the good news of Japan and U.S. stock markets, the empirical result also shows that the Taiwan and the Korea stock markets can reduce the fixed variation risk.
HUEI-CHING CHEN, YAO-CHENG TSAI, WANN-JYI HORNG. (2016) Influence of Japan and U.S. Stock Return Volatility in Asia Two Stock Markets: Empirical Study of Taiwan and Korea Countries, International Review of Management and Business Research, Volume 5, Issue 1.
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