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RISS 인기검색어
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- 저자 : Kin Yip Ho (검색결과 4 건)
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CONDITIONAL VOLATILITY ASYMMETRY OF BUSINESS CYCLES: EVIDENCE FROM FOUR OECD COUNTRIES
KIN-YIP HO,Albert K Tsui,Zhaoyong Zhang 중앙대학교 경제연구소 2013 Journal of Economic Development Vol.38 No.3
Most studies of business cycle exclude the dimension of asymmetric conditional volatility. In this paper, we propose three bivariate asymmetric GARCH models to capture the properties of conditional volatility and time-varying conditional correlations of business cycle indicators in four OECD countries. Our study extends the constant conditional correlation framework proposed by Bollerslev (1990) and the time-varying conditional correlation approach by Tse and Tsui (2002), respectively. Using indices of industrial production as proxies for business cycles indicators, we detect statistically significant evidence of asymmetric conditional volatility in the UK and US. Additionally, we find that the conditional correlations are significantly time-varying, and that the strength of varying correlations may be linked to the degree of economic integration between the countries.
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Value, Idiosyncratic Risk, and Illiquidity Premia: Evidence from the Chinese Stock Markets
( Kin Yip Ho ),( Ji Youn An ) 한국국제경제학회 2014 한국국제경제학회 동계학술대회 Vol.2014 No.1
This paper explores the value (book-to-market) premium in the Chinese stock markets from 1995 to 2012. After adjusting for firm size, our results indicate that the value premium exists and lasts for three years ahead. The driving forces of value premium are idiosyncratic volatility (IV), firm turnover, bid-ask spread and intangible information. In particular, a negative idiosyncratic volatility (IV) effect exists. However, after controlling for turnover, bid-ask spread and intangible returns, the negative IV effect is insignificant. Furthermore, compared with market turnover and bid-ask spreads, intangible information is less significant in terms of its impact on the value premium. This suggests that the value premium in theChinese stock markets is linked primarily to turnover or bid-ask spreads.
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An Analysis of the Conditional Volatility Dynamics of the Australian Business Cycle
Kin Yip Ho,Albert K Tsui,Zhaoyoung Zhang 중앙대학교 경제연구소 2007 Journal of Economic Development Vol.32 No.2
In this paper, we analyse the conditional variance of the Australian real gross domestic product (GDP) and the expenditure components by a variety of generalised autoregressive conditional heteroskedasticity (GARCH) models. First, we test the plausibility of the constant-correlation assumption by employing Tse’s (2000) Lagrange Multiplier (LM) test and the Bera and Kim’s (2002) Information Matrix (IM) test. Our results indicate that the correlations among the shocks to real GDP and its various expenditure components are invariant over time. In addition, these shocks are not highly correlated with one another. Second, we examine if volatility asymmetry exists in the Australian business cycle by proposing four bivariate asymmetric GARCH specifications. Except for the case of gross fixed capital formation, the evidence of asymmetric conditional volatility in the growth rates of the Australian real GDP and the other components is weak. Despite the weak evidence of asymmetric volatility, higher volatility is generally associated with the contractionary phase of the Australian business cycle. This finding has important implications for macroeconomic policy and forecasting for business cycle.
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The Book-to-Market Anomaly in the Chinese Stock Markets
KIN-YIP HO,안지연,Lanyue Zhou 대외경제정책연구원 2015 East Asian Economic Review Vol.19 No.3
This paper examines the existence of value premium in the Chinese stock markets and empirically provides its explanation. Our results suggest that the value premium does exist in the Chinese markets, and investor sophistication is significant in explaining its existence. In particular, there is supporting evidence that the value premium could be driven by individual investors, whereas stocks that are mostly held by institutional investors are value-premium free. We briefly discuss the implications of our findings.
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