This paper discusses the model construction and the association between the Italy and the Germany＇s stock markets. The period of study data is from January 3, 2000 to June 30, 2008. This paper also utilizes Student＇...This paper discusses the model construction and the association between the Italy and the Germany＇s stock markets. The period of study data is from January 3, 2000 to June 30, 2008. This paper also utilizes Student＇s t distribution to analyze the proposed model. The empirical results show that the two stock markets are mutually affected each other, and the dynamic conditional correlation （DCC） and the bivariate asymmetric-GARCH （1, 2） model is appropriate in evaluating the relation between them. The empirical result also indicates that Italy and Germany＇s stock markets show a positive relationship. The average value of correlation coefficient equals to 0.8424, which implies that the two stock markets return volatility have a synchronized influence on each other. In addition, the empirical result also shows that there is an asymmetrical effect between Italy and the Germany＇s stock markets, and demonstrates that the good news and bad news of the stock returns＇ volatility will produce the different variation risks for Italy and the Germany＇s stock price markets.展开更多
To investigate hedging effectiveness of multinational companies in respect of using currency derivatives,the author adapts an innovative and multi layers GJR-GARCH-based model.This model broke down the currency risk f...To investigate hedging effectiveness of multinational companies in respect of using currency derivatives,the author adapts an innovative and multi layers GJR-GARCH-based model.This model broke down the currency risk faced by MNCs in each business area and added six control variables other than foreign sales ratio,all these variables have been proved to be related to MNCs'currency risk exposure but was not included into previous models.Moreover,this model absorbs advantages of several models built in previous studies and combines them into a whole,intact model.This paper also employed a wide research scope,using a sample of 48 non-financial and 28 financial firms headquartered in USA.Also,comparison between financial and non-financial firms is an innovation of our research.According to the result,hedging of non-financial companies in respect of currency risk is ineffective,and financial companies are more likely using currency derivatives to speculate.展开更多
文摘This paper discusses the model construction and the association between the Italy and the Germany＇s stock markets. The period of study data is from January 3, 2000 to June 30, 2008. This paper also utilizes Student＇s t distribution to analyze the proposed model. The empirical results show that the two stock markets are mutually affected each other, and the dynamic conditional correlation （DCC） and the bivariate asymmetric-GARCH （1, 2） model is appropriate in evaluating the relation between them. The empirical result also indicates that Italy and Germany＇s stock markets show a positive relationship. The average value of correlation coefficient equals to 0.8424, which implies that the two stock markets return volatility have a synchronized influence on each other. In addition, the empirical result also shows that there is an asymmetrical effect between Italy and the Germany＇s stock markets, and demonstrates that the good news and bad news of the stock returns＇ volatility will produce the different variation risks for Italy and the Germany＇s stock price markets.
文摘To investigate hedging effectiveness of multinational companies in respect of using currency derivatives,the author adapts an innovative and multi layers GJR-GARCH-based model.This model broke down the currency risk faced by MNCs in each business area and added six control variables other than foreign sales ratio,all these variables have been proved to be related to MNCs'currency risk exposure but was not included into previous models.Moreover,this model absorbs advantages of several models built in previous studies and combines them into a whole,intact model.This paper also employed a wide research scope,using a sample of 48 non-financial and 28 financial firms headquartered in USA.Also,comparison between financial and non-financial firms is an innovation of our research.According to the result,hedging of non-financial companies in respect of currency risk is ineffective,and financial companies are more likely using currency derivatives to speculate.
