Journal article
Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model
Journal of economics and business, v 55(5), pp 487-502
2003
Abstract
This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information from the US market. By employing a double-threshold GARCH model to investigate six major index-return series, we find strong evidence supporting the asymmetrical hypothesis of stock returns. Specifically, negative news from the US market will cause a larger decline in a national stock return than an equal magnitude of good news. This holds true for the volatility series. The variance appears to be more volatile when bad news impacts the market than when good news does.
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19 Record Views
76 citations in Scopus
Details
- Title
- Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model
- Creators
- Cathy W.S. Chen - Feng Chia UniversityThomas C. Chiang - Drexel UniversityMike K.P. So - Hong Kong University of Science and Technology
- Publication Details
- Journal of economics and business, v 55(5), pp 487-502
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Scopus ID
- 2-s2.0-0141792680
- Other Identifier
- 991019173949304721