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- W2016011498 abstract "This study tests the asymmetric responses of mean reversion and volatility using the asymmetric nonlinear smooth transition generalized autoregressive conditional heteroskedasticity (ANST-GARCH) model. The asymmetric mean reversion and volatility reflect the fact that investors react more strongly to bad news than to good news. Since risk averse investors overweigh more severely the potentials of bad news after a heavy loss, this study applies daily stock index returns from Hong Kong, Japan, Malaysia, Singapore, South Korea, Taiwan and Thailand during 1994–2005 to test this hypothesis. The result shows that following the Asian financial crisis most markets displayed increased sensitivity to bad news, which confirms the hypothesis." @default.
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- W2016011498 title "The mean/volatility asymmetry in Asian stock markets" @default.
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- W2016011498 doi "https://doi.org/10.1080/09603100600959878" @default.
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