Abstract

http://ssrn.com/abstract=1734646
 


 



Modelling Asian Stock-Market Volatility (In French)


Sanvi Avouyi-Dovi


Banque de France

Eric Jondeau


University of Lausanne; Swiss Finance Institute

January 1, 1999

Banque de France Working Paper No. 58

Abstract:     
Building on work about stock markets in industrialized countries, we analyze volatility of stock returns in South-East Asia using the ARCH methodology. Our goal is to highlight specific features of Asian stock market, concerning the statistical properties of returns as well as the volatility dynamics. We are then able to compare stock markets in industrialized countries with those of Asian emerging countries. This analysis shows that there is no fundamental difference between both areas: stock markets have similar statistical properties and display the same volatility pattern.

Note: Downloadable document is in French.

Number of Pages in PDF File: 51

Keywords: ARCH models, Volatility, Conditional distribution, Asymmetry effects

JEL Classification: C32, G12

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Date posted: April 18, 2011  

Suggested Citation

Avouyi-Dovi, Sanvi and Jondeau, Eric, Modelling Asian Stock-Market Volatility (In French) (January 1, 1999). Banque de France Working Paper No. 58. Available at SSRN: http://ssrn.com/abstract=1734646 or http://dx.doi.org/10.2139/ssrn.1734646

Contact Information

Sanvi Avouyi-Dovi (Contact Author)
Banque de France ( email )
Paris
France
Eric Jondeau
University of Lausanne ( email )
Faculty of Business and Economics (HEC Lausanne)
Extranef 232
1012 Lausanne
Switzerland
+41 21 692 33 49 (Phone)
HOME PAGE: http://www.hec.unil.ch/ejondeau/
Swiss Finance Institute ( email )
40, Boulevard du Pont-d'Arve
Case Postale 3
1211 Geneva 4, CH-6900
Switzerland
+41 21 692 33 49 (Phone)
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