New Economics Papers
on Financial Markets
Issue of 2007‒08‒18
two papers chosen by

  1. Some Properties of Absolute Returns as a Proxy for Volatility By David E. Giles
  2. Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms By Kentaro Iwatsubo; Kazuyuki Inagaki

  1. By: David E. Giles (Department of Economics, University of Victoria)
    Abstract: We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.
    Keywords: Volatility, stochastic volatility model, absolute returns, squared returns
    JEL: C10 C46 G10
    Date: 2007–08–09
  2. By: Kentaro Iwatsubo; Kazuyuki Inagaki
    Abstract: This paper investigates stock market contagion between U.S. and Asian markets. To distinguish between contagion and fundamentals-based stock price comovement, we use NYSE-traded stocks issued by Asian firms. Among the results, first we find that the empirical results show significant bilateral contagion effects in returns and return volatility. Second, contagion effects from U.S. market to Asian markets are stronger than in the reverse direction, indicating that the U.S. market plays a major role in the transmission of information to foreign markets. Third, the intensity of contagion was significantly greater during the Asian financial crisis than after the crisis.
    Keywords: Asian financial crisis; ADRs; EGARCH; Contagion
    JEL: F37 G15
    Date: 2006–12

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