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    題名: An Analysis of Long Memory in Volatility for Asian Stock Markets
    作者: Chung, Huimin;Lin, William T.;Wu, Soushan
    貢獻者: 淡江大學財務金融學系
    關鍵詞: long memory in volatility;structure shifts in variance;Asia Pacific stock markets
    日期: 2000-09
    上傳時間: 2009-11-30 17:52:48 (UTC+8)
    出版者: World Scientific Center, Center for PBBEF Research
    摘要: One of the important questions in studies of asset return and volatility has been how long the effects of shocks persist. In this article, the modified R/S statistic of Lo (1991) and the robust semiparametric method of Lobato and Robinson (1997) are applied to investigate the long memory properties in return and volatility of Asian financial markets. For the return series, we find little evidence of long memory, while the empirical results support the hypothesis of long memory in volatility for Asia-Pacific stock markets. We also discuss the possible causes of spurious long memory effect in volatility, namely aggregation, size distortion, and shifts in variance. Our empirical evidence shows that spurious long memory effect in volatility might occur as a result of shifts in variance for some Asian stock markets.
    關聯: Review of pacific basin financial markets and policies 3(3), pp.309-330
    DOI: 10.1142/S0219091500000200
    顯示於類別:[財務系] 期刊論文
    [財務金融學系暨研究所] 期刊論文

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