Analysis of the Asia~Pacific Region's Corporate Presence in the Americas in Context to the Congruence of Their Stock Markets and Economies

2017 ◽  
Author(s):  
Kevin Sleem
Keyword(s):  
Stock Markets ◽  
Asia Pacific

An Analysis of Long Memory in Volatility for Asian Stock Markets

2000 ◽  
Vol 03 (03) ◽  
pp. 309-330 ◽  
Author(s):  
Huimin Chung ◽  
William T. Lin ◽  
Soushan Wu
Keyword(s):  
Financial Markets ◽  
Memory Effect ◽  
Long Memory ◽  
Stock Markets ◽  
Asia Pacific ◽  
Size Distortion ◽  
Asset Return ◽  
Semiparametric Method ◽  
Aggregation Size ◽  
And Shifts

One of the important questions in studies of asset return and volatility has been how long the effects of shocks persist. In this article, the modified R/S statistic of Lo (1991) and the robust semiparametric method of Lobato and Robinson (1997) are applied to investigate the long memory properties in return and volatility of Asian financial markets. For the return series, we find little evidence of long memory, while the empirical results support the hypothesis of long memory in volatility for Asia-Pacific stock markets. We also discuss the possible causes of spurious long memory effect in volatility, namely aggregation, size distortion, and shifts in variance. Our empirical evidence shows that spurious long memory effect in volatility might occur as a result of shifts in variance for some Asian stock markets.

Analysis of Asia Pacific stock markets with a novel multiscale model

2019 ◽  
Vol 534 ◽  
pp. 120939 ◽  
Author(s):  
Zhang Chengzhao ◽  
Pan Heping ◽  
Ma Yu ◽  
Huang Xun
Keyword(s):  
Stock Markets ◽  
Multiscale Model ◽  
Asia Pacific
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