Volatility Spillover and Dynamic Correlation of Exchange Rate in ASEAN-5

Translated title of the contribution: Limpahan kemeruapan dan korelasi dinamik kadar Pertukaran di ASEAN-5

Mori Kogid, Abu Hassan Shaari Md Nor, Tamat Sarmidi

Research output: Contribution to journalArticle

1 Citation (Scopus)

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 languageMalay
Pages (from-to)39-51
Number of pages13
JournalJurnal Ekonomi Malaysia
Volume49
Issue number2
DOIs
Publication statusPublished - 2015

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Thailand
Philippines
Singapore
Global financial crisis
Multivariate GARCH
Volatility spillover
Financial markets
Asian financial crisis
Dynamic correlation
Foreign exchange rates
Indonesia
Malaysia
Risk management
Dynamic conditional correlation

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 journalArticle

Kogid, Mori ; Md Nor, Abu Hassan Shaari ; Sarmidi, Tamat. / Volatility Spillover and Dynamic Correlation of Exchange Rate in ASEAN-5. In: Jurnal Ekonomi Malaysia. 2015 ; Vol. 49, No. 2. pp. 39-51.
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