文章基本信息

标题：Asymmetric Reaction Towards Financial Shocks in ASEAN Countries
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作者：David Kaluge ; David Kaluge ; Wilujeng Puspita 等
期刊名称：Procedia - Social and Behavioral Sciences
印刷版ISSN：1877-0428
出版年度：2015
卷号：211
页码：519-527
DOI：10.1016/j.sbspro.2015.11.069
语种：English
出版社：Elsevier
摘要：AbstractEconometric studies usually assume that effects of a shock with either up or down direction have been symmetrically for upward shock as well as of the downward. However many facts show that the reaction of investors toward risk and return not symmetrical opposite. This study aimed at answering the crucial question of asymmetric reaction toward the shock on capital market.Based on capital markets integration andintermarketconcepts and the using of ASYMVAR model, it found that the asymmetric reaction was approved significantly. Investors were more risk averted and were sensitive against drop in stock prices.
关键词：Asean capital market;Asymmetric reaction;asymmetric response;bullish –bearish market;contagion effect;intermarket analysis;leader follower;market integration.