Metris: Jurnal Sains dan Teknologi
Vol. 20 No. 02 (2019): Desember

Estimating Spillover Effect and Leverage Effect Using EGARCH-ARMA Approach in Mongolian Stock Exchange

Lee, Cheng-Wen (Unknown)
Gankhuyag, Dolgion (Unknown)

Article Info

Publish Date
01 Dec 2019

Abstract

This study checked the spillover effect and leverage effect from 2 January 2012 to 27 December 2017 in the Mongolian Stock Index MSE20 time frame. We found spillover effect on individual stock prices from the market index, but our analysis did not support individual stock has a spillover effect on stock index. In terms of volatility, only market and stock volatility have a bilateral spillover effect. Stock index in particular has a much stronger influence on stock price. Our research did not support previous studies for the leverage effect of the EGARCH-ARMA method, suggesting negative asymmetric influence of volatility such that two financial instruments overlap in their value.

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Journal Info
Metris: Jurnal Sains dan Teknologi
Website

Abbrev

metris

Publisher

Universitas Katolik Indonesia Atma Jaya

Subject

Decision Sciences, Operations Research & Management Education Engineering Industrial & Manufacturing Engineering

Description

Jurnal Metris is published 2 (twice) a year. Since Volume 14 in 2013, Jurnal Metris has been published in June and December. The contents of the journal discuss research results in the field of industrial engineering. Jurnal Metris provides a place of publishing for sharing the new findings from ...