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Announcement Effects and Asymmetric Volatility in Industry Stock Returns: Evidence from Taiwan

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  • Chih-Wei Lee
  • Ming-Jen Chang

Abstract

This study employs financial econometric models to examine the asymmetric volatility of equity returns in response to monetary policy announcements in the Taiwanese stock market. The meetings of the board of directors at the Central Bank of the Republic of China (Taiwan) are considered for testing the announcement effects. The asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) model and the smooth transition autoregression with GARCH model are used to measure equity returns' asymmetric volatility. We conclude that the asymmetric volatility of countercyclical equity returns can be identified. Our findings support the >i>leverage effect>/i> of stock price changes for most industry equity returns in Taiwan.

Suggested Citation

  • Chih-Wei Lee & Ming-Jen Chang, 2011. "Announcement Effects and Asymmetric Volatility in Industry Stock Returns: Evidence from Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(2), pages 48-61, March.
    • Handle: RePEc:mes:emfitr:v:47:y:2011:i:2:p:48-61
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    Citations

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    Cited by:

    1. Madhuri Malhotra & M. Thenmozhi & Arun Kumar Gopalaswamy, 2011. "Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements," Working Papers 2011-061, Madras School of Economics,Chennai,India.
    2. Cakan Esin & Rangan Gupta, 2017. "Does the US. macroeconomic news make the South African stock market riskier?," Journal of Developing Areas, Tennessee State University, College of Business, vol. 51(4), pages 17-27, October-D.
    3. Chia-Hsun Hsieh & Shian-Chang Huang, 2012. "Time-Varying Dependency and Structural Changes in Currency Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(2), pages 94-127, March.
    4. Mehmet Balcilar & Esin Cakan & Rangan Gupta, 2016. "Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test," Working Papers 201631, University of Pretoria, Department of Economics.

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