The international transmission of stock returns and stock return volatility
This thesis examines the level and degree of interdependence between the United States and New Zealand. In particular, I examine the effects of the arrival of new information in the United States stockmarket, as measured by a unit shock, that is transmitted to the New Zealand stockmarket. The methodology for deriving impulse response functions from the nonlinear conditional variance process is given particular attention. Impulse response functions for both stock returns and stock return volatility are computed from the estimation of a multivariate GARCH model. In addition, the transmission mechanism is further profiled by examining price spillovers, and asymmetry in the volatility process.... [Show full abstract]
Keywordsinternational stock markets; stock returns; stock return volatility; interdependence; NZSE40; S&P500; impulse response functions; multivariate; GARCH; EGARCH; maximum likelihood estimation
Fields of Research150205 Investment and Risk Management; 150202 Financial Econometrics; 140207 Financial Economics; 140210 International Economics and International Finance
Access RightsDigital thesis can be viewed by current staff and students of Lincoln University only. Print copy available for reading in Lincoln University Library. May be available through inter-library loan.
Showing items related by title, author, creator and subject.
Luo, Jin (Lincoln University, 2007)Day-of-the week anomalies and monthly effect have proven to be persistent in many of the developed stock markets (Robert, 1987; Gultekin, 1983; Cross, 1973;) as well as the emerging stock markets (Mohammad, 1987; Balaban, ...
Kitessa, Soressa Mererra (Lincoln University, 1997)Two consecutive experiments were conducted to test a hypothesis that mixed grazing outcome is influenced by the type of stocking system applied. The objective of both experiments was to investigate the influence of co-grazing ...
Kingma, O. T.; Ryan, O. P. (Lincoln College. Department of Farm Management and Rural Valuation, 1970)With large sums of capital invested in fattening and breeding facilities, coupled with the uncertainty of pigmeat prices, the survey has confirmed that the modern pig farmer must maintain high levels of efficiency. The ...