An Influence of Japan, U.S. and U.K. Stock Return Volatility in the Asia Stock Market: An Evidence Study of Singapore Stock Market

Abstract

This paper proposes a three variables’ double threshold-GRACH model, and uses this model to discuss Japan, U.S. and U.K. stock return rate volatility on the influence of the Singapore stock market. The empirical result demonstrates that the proposed model discussing Japan, U.S. and U.K. stock return rate volatilities to the influence of the Singapore stock market return is indeed appropriate, and also the response to the Singapore stock market has an asymmetrical effect. The empirical result also shows the different influence of the good news and the bad news of the eight kinds of combinations of the proposed model. The information of Japan, U.S. and U.K. stock return rate volatilities affects the Singapore stock market returns’ volatility. Besides, Japan, U.S. and U.K. stock return volatilities are truly affects the variation risks of the stock market.