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Giam Quang Do, Michael Mcaleer and Songsak Sriboonchitta
''Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets ''
( 2009, Vol. 29 No.2 )
This paper examines behaviors of returns and volatility of ASEAN emerging stock markets (Indonesia, Malaysia, Philippines, Thailand and Vietnam), incorporating with the effects from the international gold market. The estimates of GARCH(1,1) and GJR(1,1) for these stock markets indicate that the GJR(1,1) model is preferred to GARCH(1,1), except Vietnam. However, under the exogenous effects from international gold market such as the 1 day lagged returns and the 1 day lagged volatility of gold, the GARCH(1,1)-X model captures better stock market volatility behavior than GJR(1,1)-X, except Indonesia. Interestingly, gold could be a substitute commodity for stocks in Vietnam and the Philippines, while it could be a complement for stocks in Indonesia, Thailand and Malaysia.
Keywords: Volatility, GARCH-X, Gold effects, ASEAN emerging stock markets
Manuscript Received : Feb 09 2009 Manuscript Accepted : Apr 14 2009

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