• ISSN: 2010-023X
    • Frequency: Bimonthly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Executive Editor: Ms. Cherry L. Chen
    • Abstracting/ Indexing: Engineering & Technology Digital Library, ProQuest, Crossref, Electronic Journals Library, DOAJ , EBSCO, and Ulrich's Periodicals Directory
    • E-mail: ijtef@ejournal.net
IJTEF 2012 Vol.3(4): 293-298 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2012.V3.215

Local Currency Effect on Volatility Asymmetry in Asian Stock Markets

Tõnn Talpsepp
Abstract—The aim of the paper is to study the effect of currency exchange rate changes on the stock market volatility asymmetry, based on the 14 country sample of Asian markets. We calculate time series of stock market volatility asymmetry using APARCH model and using both local currency returns and the USD returns to compare the results. We use standard statistical tests along with wavelet methods to compare the obtained time series estimates of the volatility asymmetry. We find that the effect from the exchange rates to the equity market volatility asymmetry is statistically not significant but short periods exist when currency rates can affect equity market volatility asymmetry.

Index Terms—APARHC model, exchange rate effect, volatility asymmetry, wavelet models.

T. Talpsepp is with the Tallinn School of Economics and Business Administration, Tallinn University of Technology, Tallinn, Estonia (e-mail: tonn.talpsepp@ttu.ee).

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Cite:Tõnn Talpsepp, "Local Currency Effect on Volatility Asymmetry in Asian Stock Markets," International Journal of Trade, Economics and Finance vol.3, no.4, pp. 293-298, 2012.

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