Associated Analysis of South-Korea And Japan Stock Market Returns Volatility: An Application of Bivariate Student’s t Distribution And GARCH Model

[[abstract]]This paper uses South Korean and Japanese stock prices from January 4, 1999 to December 29, 2005, to construct a model of the associations between the South Korean and Japanese stock markets. Student's t distribution is used to analyze the proposed model. The empirical results show that there are mutual effects between the South Korean and the Japanese stock markets which may be described using a bivariate GARCH (1, 2) model. The empirical results also show that there is a positive relationship between South Korean and Japanese stock market returns - namely in the mutual synchronized influence of the markets’ return volatility. The correlation coefficient of the two stock market returns is 0.5227. Also, during the research data period, South Korea's stock market did display an asymmetrical effect, but Japan's stock market lacked this effect. The evidence may suggest that stock market investors or international fund managers may want to consider Japan’s stock price return volatility risk and its implications before investing in South Korea. Therefore, during stable stock market times, the influence of the foreign country’s stock market return volatility behavior should not be neglected; otherwise, the anticipated effect will not be acheived

Natural Sciences Publishing Cor. Uniformly Consistency of the Cauchy-Transformation Kernel Density Estimation Underlying Strong Mixing

Abstract: In this paper, one uses the idea of Cauchy-transformation to construct a Cauchy-transformation kernel density estimator underlying the condition of strong mixing. The uniformly strong consistency and convergence rates of the proposed estimator are obtained underlying the papers of Cai and Roussas [1] and Kim and Lee [6]. The proposed estimator can improve the boundary effects of the empirical (or uniform)-transformation kernel density estimator in the boundary area. Besides, the proposed estimator can also be applied to estimate the hazard function

On Approximation for Inverse Moments of Nonnegative Random Variables

Abstract—The asymptotic approximation for the -th inversemoments of nonnegative random variables is obtained under verymild conditions. The main results include those results in [Wu, T.J., Shi, X. P. and Miao, B.Q., 2009. Asymptotic approximation ofinverse moments of nonnegative random variables. Statist.Probab. Letter, 79, 1366-1371] and [Shi, X. P., Wu, Y. H., Liu, Y.,2010. A note on asymptotic approximations of inverse moments ofnonnegative random variables, Statist. Probab. Letter, 80,1260-1264]

Dynamic Relatedness Analysis of Two Stock Market Returns Volatility: An Empirical Study on the South Korean and Japanese Stock Markets

[[abstract]]This paper discusses the association and the model construction of the South Korean and Japanese stock markets for the period from January 4, 1999 to December 29, 2005. This paper also utilizes Student's t distribution to analyze the proposed model. The empirical analyses indicate that there is a strong association between the South Korean and Japanese stock markets. We use a bivariate asymmetric-GARCH(1, 2) model with a dynamic conditional correlation (DCC) to evaluate the association and find that there exists an asymmetrical effect between the two stock markets. The results of the empirical analyses also show that the Japanese stock market returns positively affect the South Korean stock market returns, and the volatilities of the Japanese and South Korean stock market returns interact with each other. The average value of dynamic conditional correlation of these two stock market return amounts to 0.5306. Furthermore, the South Korean and Japanese stock markets have an asymmetrical phenomenon in the sample period. The explanatory ability of the bivariate asymmetric DCC-GARCH(1, 2) model is better than the model of the bivariate DCC-GARCH model . The evidence may suggest that stock market investors or international fund managers should consider the risk of the stock price return volatility and its close connection with the stock market as they make investment decisions. In other words, in addition to considering the stability of stock market time, investors should take into consideration the foreign country stock market return volatility behavior in order to achieve the anticipated effect