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Diagnosing shocks in stock markets of southeast Asia, Australia, and New Zealand

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  • Chan, W.S
  • Liu, W.N

Abstract

Relatively infrequent but important events such as wars, natural disasters, currency crises, and changes of political leaders can have important effects on stock market performance. In this article, we are interested in determining the importance of large shocks in stock markets of southeast Asia, Australia and New Zealand. We attempt to establish the frequency, timing, and persistence of large shocks and whether they are important contributors to the variation in each stock market. Furthermore, we try to match these shocks with identifiable social and economic events.

Suggested Citation

  • Chan, W.S & Liu, W.N, 2002. "Diagnosing shocks in stock markets of southeast Asia, Australia, and New Zealand," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(1), pages 223-232.
    • Handle: RePEc:eee:matcom:v:59:y:2002:i:1:p:223-232
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    References listed on IDEAS

    as
    1. Balke, Nathan S & Fomby, Thomas B, 1994. "Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 181-200, April-Jun.
    2. Chan, W.S. & Wang, S., 1998. "The Wilkie Model for Retail Price Inflation Revisited," British Actuarial Journal, Cambridge University Press, vol. 4(3), pages 637-652, August.
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