Bivariate value-at-risk in the emerging Malaysian sectoral markets

Chin Wen Cheong, Zaidi Isa

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

This study examines the transmission of price changes and volatility among the Malaysian economic barometer (FTSE Bursa Malaysia Kuala Lumpur Composite Index-FBMKLCI) and four sectoral markets after the Asian financial crisis. The preliminary structural break identification provides an optimal sample size for the cross-markets transmission mechanism analysis. In order to reveal the hidden intention of interactions among the sectoral markets, the pair-wise markets which consist of CI-IND, CI-PLN, CI-PRP and CI-FIN are evaluated using a bivariate asymmetric BEKK model. The major intention of this study focuses on the cross-market hedging and market risk evaluations in terms of shocks and volatility.

Original languageEnglish
Pages (from-to)67-94
Number of pages28
JournalJournal of Interdisciplinary Mathematics
Volume14
Issue number1
Publication statusPublished - Feb 2011

Fingerprint

Value at Risk
Barometers
Volatility
Economics
Composite materials
Barometer
Risk Evaluation
Structural Breaks
Financial Crisis
Malaysia
Hedging
Market
Shock
Sample Size
Composite
Interaction

Keywords

  • Multivariate ARCH
  • Structural change
  • Value at risk

ASJC Scopus subject areas

  • Analysis
  • Applied Mathematics

Cite this

Bivariate value-at-risk in the emerging Malaysian sectoral markets. / Cheong, Chin Wen; Isa, Zaidi.

In: Journal of Interdisciplinary Mathematics, Vol. 14, No. 1, 02.2011, p. 67-94.

Research output: Contribution to journalArticle

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