Examining asymmetric volatility and spillovers of Asean 6 stock markets in financial crisis
Examining asymmetric volatility and spillovers of Asean 6 stock markets in financial crisis
This paper aims to study the asymmetric relation between stock returns and volatility in ASEAN-6 stock markets by applying EGARCH model to the daily ASEAN-6 returns stock markets over the period of July 31, 2000 to April 1, 2015. Our results also showed that conditional volatility react to good and bad news asymmetrically.