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Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors. Asian Development Review, Vol. 28(2), pp. 32-57

dc.contributor.authorJianxin Wang
dc.date.accessioned2015-01-24T13:12:27Z
dc.date.available2015-01-24T13:12:27Z
dc.date.issued2011-08-27T13:12:27Z
dc.identifier.urihttp://hdl.handle.net/11540/1654
dc.description.abstractThis paper examines volatility forecasting for the broad market indices of 12 Asian stock markets. After considering the long memory in volatility and volatility jumps, the paper incorporates local, regional, and global factors into a heterogeneous autoregressive model for volatility forecasting. Compared to several existing studies, the model produces smaller forecasting errors. The empirical findings shed new light on the spillover effect from regional and global factors to local market volatility. Despite the common perception of increased globalization, the paper finds that volatility in Asia is primarily driven by local factors. During the period January 2005 to April 2010, regional and global factors explain 2%–3% of the volatility in the next 10 days for Asian emerging markets, and 3%–6% for Asian developed markets. There was no significant increase in the contribution of global factors to local market volatility.
dc.languageEnglish
dc.publisherAsian Development Bank
dc.rightsCC BY 3.0 IGO
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.titleForecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors. Asian Development Review, Vol. 28(2), pp. 32-57
dc.typeJournals
dc.subject.adbMarket
dc.subject.adbGlobalization
dc.subject.adbEconomic Impacts
dc.subject.adbEconomic Evaluation
dc.title.seriesAsian Development Review
dc.title.volumeVolume 28, Number 2, pp. 32-57
dc.contributor.imprintAsian Development Bank
oar.themeFinance
oar.themeRegional
oar.identifierOAR-002526
oar.authorWang, Jianxin
oar.importtrue
oar.googlescholar.linkpresenttrue


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  • Asian Development Review
    The Asian Development Review (ADR) is a professional journal for disseminating the results of economic and development research relevant to Asia and the Pacific. Since 1983, the ADR has been an important part of the history of the Asian Development Bank and its mission to reduce poverty across Asia and the Pacific.

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