Return volatility of Asian stock exchanges; a GARCH DCC analysis with reference of Bitcoin and global crude oil price movement
Amritkant Mishra,
Ajit Kumar Dash
Abstract:Purpose
This study aims to investigate the conditional volatility of the Asian stock market concerning Bitcoin and global crude oil price movement.
Design/methodology/approach
This study uses the newest Dynamic Conditional Correlation (DCC)-Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to examine the conditional volatility of the stock market for Bitcoin and crude oil prices in the Asian perspective. The sample stock market includes Chinese, Indian, Japanese, Malaysian, Pakistani, Si… Show more
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