Abstract
Studies on the dynamic relationship between financial markets are always relevant, especially in the area of risk management. This study attempts to investigate the dynamic relationship between foreign exchange rate markets in the ASEAN-5, focusing on the study of volatility spillovers and dynamic correlation between markets based on daily data beginning January 3, 1994 to June 18, 2012. The study period is also divided into three sub-periods, January 3, 1994-September 1, 1998, September 2, 1998-July 21, 2005, and July 22, 2005-Jun 18, 2012. The findings based on MGARCH-BEKK models show that most of the volatility spillovers from Malaysia are significant to Indonesia, Thailand, the Philippines and Singapore. However the dynamic relationship varies according to different time periods. In addition, the study also shows that the markets of Thailand, the Philippines, and particularly the Indonesian are more volatile. The estimation result from the dynamic conditional correlation based on MGARCH-DCC model showed that the correlation between the Malaysian and other markets are positive and high in certain periods especially during the Asian and global financial crises. On the other hand, correlation between Thailand and Singapore markets are positive and high even in non-crisis periods. The study also showed that the correlation between markets is on the increasing trend in the years after the global financial crisis.
| Original language | Malay |
|---|---|
| Pages (from-to) | 39-51 |
| Number of pages | 13 |
| Journal | Jurnal Ekonomi Malaysia |
| Volume | 49 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2015 |
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ASJC Scopus subject areas
- Business, Management and Accounting (miscellaneous)
Cite this
Volatility Spillover and Dynamic Correlation of Exchange Rate in ASEAN-5. / Kogid, Mori; Md Nor, Abu Hassan Shaari; Sarmidi, Tamat.
In: Jurnal Ekonomi Malaysia, Vol. 49, No. 2, 2015, p. 39-51.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Volatility Spillover and Dynamic Correlation of Exchange Rate in ASEAN-5
AU - Kogid, Mori
AU - Md Nor, Abu Hassan Shaari
AU - Sarmidi, Tamat
PY - 2015
Y1 - 2015
N2 - Studies on the dynamic relationship between financial markets are always relevant, especially in the area of risk management. This study attempts to investigate the dynamic relationship between foreign exchange rate markets in the ASEAN-5, focusing on the study of volatility spillovers and dynamic correlation between markets based on daily data beginning January 3, 1994 to June 18, 2012. The study period is also divided into three sub-periods, January 3, 1994-September 1, 1998, September 2, 1998-July 21, 2005, and July 22, 2005-Jun 18, 2012. The findings based on MGARCH-BEKK models show that most of the volatility spillovers from Malaysia are significant to Indonesia, Thailand, the Philippines and Singapore. However the dynamic relationship varies according to different time periods. In addition, the study also shows that the markets of Thailand, the Philippines, and particularly the Indonesian are more volatile. The estimation result from the dynamic conditional correlation based on MGARCH-DCC model showed that the correlation between the Malaysian and other markets are positive and high in certain periods especially during the Asian and global financial crises. On the other hand, correlation between Thailand and Singapore markets are positive and high even in non-crisis periods. The study also showed that the correlation between markets is on the increasing trend in the years after the global financial crisis.
AB - Studies on the dynamic relationship between financial markets are always relevant, especially in the area of risk management. This study attempts to investigate the dynamic relationship between foreign exchange rate markets in the ASEAN-5, focusing on the study of volatility spillovers and dynamic correlation between markets based on daily data beginning January 3, 1994 to June 18, 2012. The study period is also divided into three sub-periods, January 3, 1994-September 1, 1998, September 2, 1998-July 21, 2005, and July 22, 2005-Jun 18, 2012. The findings based on MGARCH-BEKK models show that most of the volatility spillovers from Malaysia are significant to Indonesia, Thailand, the Philippines and Singapore. However the dynamic relationship varies according to different time periods. In addition, the study also shows that the markets of Thailand, the Philippines, and particularly the Indonesian are more volatile. The estimation result from the dynamic conditional correlation based on MGARCH-DCC model showed that the correlation between the Malaysian and other markets are positive and high in certain periods especially during the Asian and global financial crises. On the other hand, correlation between Thailand and Singapore markets are positive and high even in non-crisis periods. The study also showed that the correlation between markets is on the increasing trend in the years after the global financial crisis.
KW - ASEAN-5
KW - BEKK
KW - DCC
KW - Exchange rate
KW - MGARCH
UR - http://www.scopus.com/inward/record.url?scp=84959440307&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84959440307&partnerID=8YFLogxK
U2 - 10.17576/JEM-2015-4902-04
DO - 10.17576/JEM-2015-4902-04
M3 - Article
AN - SCOPUS:84959440307
VL - 49
SP - 39
EP - 51
JO - Jurnal Ekonomi Malaysia
JF - Jurnal Ekonomi Malaysia
SN - 0126-1962
IS - 2
ER -