Regime Dependent Volatility Spillover Effects in Stock Markets Between Kazakhstan and Russia

• 발행기관: 한국유통과학회
• 저자명: Sang Kuck CHUNG Vasila Shukhratovna ABDULLAEVA
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.8, 297~309쪽, 전체 13쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.08.30

영문 초록

In this study, to capture the skewness and kurtosis detected in both conditional and unconditional return distributions of the stock markets of Kazakhstan and Russia, two versions of normal mixture GARCH models are employed. The data set consists of daily observations of the Kazakhstan and Russia stock prices, and world crude oil price, covering the period from 1 June 2006 through 1 March 2021. From the empirical results, incorporating the long memory effect on the returns not only provides better descriptions of dynamic behaviors of the stock market prices but also plays a significant role in improving a better understanding of the return dynamics. In addition, normal mixture models for time-varying volatility provide a better fit to the conditional densities than the usual GARCH specifications and has an important advantage that the conditional higher moments are time-varying. This implies that the volatility skews implied by normal mixture models are more likely to exhibit the features of risk and the direction of the information flow is regime-dependent. The findings of this study contain useful information for diverse purposes of cross-border stock market players such as asset allocation, portfolio management, risk management, and market regulations.

목차

1. Introduction

2. The Model

3. Data Description

4. Empirical Analysis

5. Conclusion

키워드

Stock Markets Long Memory Process Asymmetries Regime Dependent Spillovers Bivariate Normal Mixture GARCH Models