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Short-horizon asymmetry in conditional mean of ASEAN stock market returns


Ibrahim, Mansor (2010) Short-horizon asymmetry in conditional mean of ASEAN stock market returns. Asian Academy of Management Journal of Accounting and Finance, 6 (2). pp. 115-128. ISSN 1823-4992; ESSN: 2180-4192


This paper describes the return patterns of six ASEAN markets(Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam)using an autoregressive exponential GARCH-in mean model,also known as AR-EGARCH(1, 1)-M. Estimating the model for each market using daily data from August 2000 to May 2010, we find these markets generally have quick mean-reversion speeds but quite distinct patterns of return dynamics. In the Indonesian market, the evidence seems to strongly suggest asymmetric mean reversion and overreaction of the market during downturns. The Vietnamese market exhibits the most persistent return autocorrelation with some evidence pointing to higher persistence during market downturns. While there seems to be no asymmetric pattern in the return adjustment of the Malaysian and Filipino markets, there is no evidence indicating significant serial correlation in the markets of Singapore and Thailand. Thus, technical trading strategies are applicable for the markets of Indonesia and Vietnam only.

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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Publisher: Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia
Keywords: Asymmetry; Mean reversion; Volatility; AR-EGARCH(1, 1)-M; ASEAN markets
Depositing User: Azana Abd Hadi
Date Deposited: 10 Feb 2015 04:21
Last Modified: 11 Jul 2017 01:31
URI: http://psasir.upm.edu.my/id/eprint/22740
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