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Structural Change in Stock Price Volatility of Asian Financial Markets
( Jin Woong Kim ),( Byeong Seon Seo ),( David J. Leatham ) 한양대학교 경제연구소 2010 JOURNAL OF ECONOMIC RESEARCH Vol.15 No.1
Structural change in the volatility of five Asian and U.S. stock markets is examined during the post-liberalization period (1990- 2005) of Asian financial markets using the Sup-LM test. Four Asian financial markets (Korea, Japan, Hong Kong, and Singapore) experienced structural changes. However, test results do not support the structural changes in volatility for Thailand and the U.S. Also, the empirical results show that the GARCH persistent coeffcients tend to increase while the ARCH impact coeffi- cients decrease in Asian markets, which implies that the volatility process has become more persistent.