Impak pengenalan instrumen derivatif terhadap kemeruapan pulangan saham di pasaran semerta

Satu kajian empirik di Bursa Malaysia

Translated title of the contribution: The impact of the introduction of derivatives instruments on the level of spot market volatility: An empirical study on Bursa Malaysia

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

The purpose of this study is to examine the impact of introducing derivative instruments on the volatility of the cash markets. All derivative instruments which are traded in local markets are being considered. Daily returns for Composite and sectoral indices are used to investigate the overall impact as well as to the various sectors in the cash markets. Modified GARCH models with consideration of structural breaks are employed in this study and the results are mixed subject to the period of study. In general, the introduction of derivative instruments will decrease the level of volatility and this will indirectly stabilize the fluctuation of the stock market. Moreover, this will also enhance the speed and the quality of the information that flows into the stock markets. Hence, the market becomes more efficient.

Original languageUndefined/Unknown
Pages (from-to)95-105
Number of pages11
JournalSains Malaysiana
Volume35
Issue number1
Publication statusPublished - Jul 2006

Fingerprint

Spot market
Derivatives
Malaysia
Empirical study
Market volatility
Stock market
Cash
Local markets
Structural breaks
GARCH model
Fluctuations
Information flow

Keywords

  • Bursa Malaysia
  • Derivatives instruments
  • GARCH
  • Modified GARCH
  • Spot market
  • Volatility

ASJC Scopus subject areas

  • General

Cite this

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title = "Impak pengenalan instrumen derivatif terhadap kemeruapan pulangan saham di pasaran semerta: Satu kajian empirik di Bursa Malaysia",
abstract = "The purpose of this study is to examine the impact of introducing derivative instruments on the volatility of the cash markets. All derivative instruments which are traded in local markets are being considered. Daily returns for Composite and sectoral indices are used to investigate the overall impact as well as to the various sectors in the cash markets. Modified GARCH models with consideration of structural breaks are employed in this study and the results are mixed subject to the period of study. In general, the introduction of derivative instruments will decrease the level of volatility and this will indirectly stabilize the fluctuation of the stock market. Moreover, this will also enhance the speed and the quality of the information that flows into the stock markets. Hence, the market becomes more efficient.",
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AB - The purpose of this study is to examine the impact of introducing derivative instruments on the volatility of the cash markets. All derivative instruments which are traded in local markets are being considered. Daily returns for Composite and sectoral indices are used to investigate the overall impact as well as to the various sectors in the cash markets. Modified GARCH models with consideration of structural breaks are employed in this study and the results are mixed subject to the period of study. In general, the introduction of derivative instruments will decrease the level of volatility and this will indirectly stabilize the fluctuation of the stock market. Moreover, this will also enhance the speed and the quality of the information that flows into the stock markets. Hence, the market becomes more efficient.

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KW - Volatility

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