Dynamic Associated Analysis of Two Stock Returns' Volatility: An Evidence Study of Malaysia and Singapore Stock Markets

摘要

This paper uses the Malaysia and the Singapore's stock prices as materials from January 3, 2000 to July 20, 2007, to discuss the model construction and the associations of Malaysia and Singapore's stock markets, and it uses Student's t distribution to analyze the proposed model. The empirical results show that the mutual affects of the Malaysia and the Singapore's stock markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that it exists the positive relation between Malaysia and Singapore's stock market returns. Namely, these two stock market return's volatility is synchronized influence, and the average estimation value of the DCC coefficient of two stock market returns amounts to 0.3826. Also, Malaysia and Singapore's stock markets do not have the asymmetrical effect in the research data period. Based on the DCC (Engle, 2002), the DCC and the bivariate GARCH model have a better explanatory ability compared to the bivariate GARCH model with a constant conditional correlation.