The asymmetric response of volatility to return shocks has been well evidenced for various financial assets. The asymmetric volatility reflects investors' stronger reaction to bad news than to good news. Investors become more risk averse and overweigh the potentials of negative news once when they suffer severe loss. Thus it is hypothesized that the asymmetric effect gets more prominent after the precipitous fall of stock returns during Asian financial crisis. An EGARCH model, capturing the time varying volatility with asymmetric responses to innovations, is employed in examining daily stock return series for Hong Kong, Japan, Malaysia, Singapore, South Korea, Taiwan, and Thailand. A higher degree of asymmetry after the Asian financial crisis is confirmed for these markets except Thailand.
英文關鍵字
Asymmetric volatility, EGARCH, Asian Financial Crisis
