Kemeruapan bersyarat dan korelasi dinamik pasaran saham ASEAN

Translated title of the contribution: Conditional volatility and dynamic correlation of ASEAN stock market

Research output: Contribution to journalArticle

Abstract

This study attempts to look at the relationship between stock markets in ASEAN-5 region by using multivariate GARCH models (MGARCH). The results show that most markets are experiencing a higher degree of volatility in periods of crisis, especially during the Asian financial crisis. The results also show a positive correlation between markets and changing over time with the degree of correlation between markets seen higher in the crisis period. The study also finds significant effects of asymmetric shocks in influencing the correlation between the stock markets in ASEAN-5. Market volatility and economic crisis were among factors that may affect the correlation between the stock markets. The results also show that the stock markets in ASEAN-5 were increasingly integrated with the degree of correlation between the markets tends to increase after the global financial crisis. This situation may give an indication of the economic convergence process in the ASEAN region. The findings are important for policy and economic (financial) implications mainly to investors and financial practitioners as well as policy makers.

Original languageMalay
Pages (from-to)47-59
Number of pages13
JournalJurnal Pengurusan
Volume43
Publication statusPublished - 2015

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Dynamic correlation
Conditional volatility
Stock market
Financial policy
Asymmetric shocks
Economic convergence
Asian financial crisis
Factors
Multivariate GARCH models
Politicians
Economic crisis
Integrated
Global financial crisis
Investors
Market volatility
Financial economics

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Accounting
  • Business and International Management

Cite this

Kemeruapan bersyarat dan korelasi dinamik pasaran saham ASEAN. / Md Nor, Abu Hassan Shaari; Kogid, Mori; Sarmidi, Tamat.

In: Jurnal Pengurusan, Vol. 43, 2015, p. 47-59.

Research output: Contribution to journalArticle

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