Return Volatilities of U.S., U.K. and Australian Stock Markets on the Influence of Brazil Stock Markets

Yao-Cheng Tsai, Wann-Jyi Horng, Ming-Chi Huang


This paper proposes a three variable’s double threshold-GRACH model, and uses this model to discuss U.S., U.K. and Australian stock return volatilities on the influence of the Brazil’s stock market. The empirical result demonstrates that the three variable’s double threshold-GARCH(1, 1) model is indeed appropriate, and also the response to the Brazil stock market has an asymmetrical effect. The empirical result also shows the different influence of the good news and the bad news on the eight kinds of the proposed model. Therefore, the information of U.S., U.K. and Australian stock return volatilities is able to affect the Brazil stock market returns’ volatility.

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Asian Business Research  ISSN 2424-8479 (Print)  ISSN 2424-8983 (Online)

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