Short-horizon asymmetry in conditional mean of ASEAN stock market returns

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Short-horizon asymmetry in conditional mean of ASEAN stock market returns

This paper describes the return patterns of six ASEAN markets(Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam)using an autoregressive exponential GARCH-in mean model,also known as AR-EGARCH(1, 1)-M. Estimating the model for each market using daily data from August 2000 to May...

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Bibliographic Details
Main Author:	Ibrahim, Mansor
Format:	Article
Language:	English
Published:	Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia 2010
Online Access:	http://psasir.upm.edu.my/id/eprint/22740/ http://psasir.upm.edu.my/id/eprint/22740/1/Short.pdf

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