STOCK RETURN VOLATILITY AND COINTEGRATION OF U.S. AND ASIAN MARKETS IN ACCORDANCE WITH THE FINANCIAL CRISIS (1997-2014)

Winata, Yeffi Hadi (2014) STOCK RETURN VOLATILITY AND COINTEGRATION OF U.S. AND ASIAN MARKETS IN ACCORDANCE WITH THE FINANCIAL CRISIS (1997-2014). Jurnal Ekonomi Manajemen Internasional. p1-14.

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Abstract

Nature of the stock return is one of the important aspect for investor in making their decision to invest theirn money. The nature of stock could be examined by using three variables, consist of volatility, risk premium, and information asymmetry.This research will used E-GARCH and ARCH-M models, using the data from five counties whichi consist of U.S., Indonesia, Malaysia, Japan, and Hong Kong. These data was taken from 1st July 1997-30th June 2014 which consist of eight periods of global economic events Periods. This research was conducted with seceral objectives, they are: (1) To analyze the effect of global economic conditions to stock return.(2) To investigate the effect of global economic conditions to risk premium. (3) To examine the impact of good nor bad news (asymmetric information) effect to the volatility of stock. (4)To analyze the co-integration between US market and four Asian markets during the global economic events (financial crisis).

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