文章基本信息

标题：The Volatility of Market Returns: A Comparative Study of Emerging versus Mature Markets
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作者：Abdallah Fayyad ; Kevin Daly
期刊名称：International Journal of Business and Management
印刷版ISSN：1833-3850
电子版ISSN：1833-8119
出版年度：2010
卷号：5
期号：7
页码：24
DOI：10.5539/ijbm.v5n7P24
语种：English
出版社：Canadian Center of Science and Education
摘要：This paper will examine the volatility of markets returns, dynamic conditional covariance and dynamic conditional correlation between the equity markets of developed countries (US and UK) and the equity markets of developing countries (Kuwait and United Arab Emirates). A multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model will be used; Diagonal VEC (DVEC) - MGARCH VEC model originally by, Bollerslev, Engle, and Wooldridge (1988)> to identify the source and magnitude of volatility. The results will show the relation between the global mature market of USA and the UK on the emerging markets of Kuwait (K) and UAE.