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.
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