A Model of Threshold for the Two Stock Market Returns: Study of the Stock Markets in Switzerland and Canada

Abstract:

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 1) model is appropriate in evaluating the relationship of the Switzerland’s and the Canada’s stock markets. The empirical result also indicates that the Switzerland. and the Canada’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.4685, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Switzerland and the Canada’s stock markets have an asymmetrical effect, and the variation risks of the Switzerland and the Canada’s stock market returns also receives the influence of the good and bad news.

• Periodical: Advanced Materials Research (Volumes 403-408)
• Pages: 1228-1232
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.403-408.1228
• Online since: November 2011
• Authors: Wann Jyi Horng, Ju Lan Tsai
• Keywords: Asymmetric Effect, Bivariate Asymmetric-GARCH Model, GJR-GARCH Model, Stock Market Returns

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