DCC Analysis of the Two Stock Market Returns by a Threshold Model: Empirical Study of the Stock Markets in Japan and Canada

Abstract:

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 2) model is appropriate in evaluating the relationship of the Japan’s and the Canada’s stock markets. The empirical result also indicates that the Japan and the Canada’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.2514, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Japan’s and the Canada’s stock markets have an asymmetrical effect, and the variation risks of the Japan’s and the Canada’s stock market returns also receives the influence of the good and bad news, respectively.

• Periodical: Advanced Materials Research (Volumes 468-471)
• Pages: 181-185
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.468-471.181
• Online since: February 2012
• Authors: Wann Jyi Horng, Tien Chung Hu, Ming Chi Huang
• Keywords: Asymmetric Effect, Asymmetric-GARCH Model, Bivariate, DCC, GJR-GARCH Model, Stock Market Returns

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