Time-varying copula modelling between Malaysia and major stock markets

Nurul Hanis Aminuddin Jafry, Ruzanna Ab Razak, Noriszura Ismail

Research output: Contribution to journalArticle

Abstract

Studies on dependence between stock markets are important because of their implications on the process of decision-making in investment. Many previous studies measure the dependence between markets using static copula. However, in recent years, time-varying copula has been used as an alternative for measuring dependence due to its capability of capturing time-varying dependence between markets. This study uses both static and time-varying copulas to measure the dependence structure between Malaysia and major stock markets (US, UK and Japan) based on the sample data from year 2007 Q1 until year 2017 Q3. The results reveal that the best model for all pairs of indices is the time-varying SJC copula, which also reveals that the Malaysia-US pair has the weakest dependence structure compared to other pairs. In terms of lower and upper tails, the Malaysia-UK and the Malaysia-Japan pairs have the strongest dependence structure respectively. Evidence from this research suggests that diversifications involving Malaysia and US stock markets are not effective.

Original languageEnglish
Pages (from-to)646-652
Number of pages7
JournalJournal of Social Sciences Research
Volume2018
Issue numberSpecial Issue 6
DOIs
Publication statusPublished - 1 Jan 2018

Fingerprint

stock market
Malaysia
Japan
market
time
Time-varying
Modeling
Copula
Stock market
Stock Market
diversification
decision making
Dependence structure
evidence

Keywords

  • Dependence
  • Diversifications
  • Malaysia stock market
  • Time-varying copula

ASJC Scopus subject areas

  • Arts and Humanities(all)
  • Social Sciences(all)
  • Economics, Econometrics and Finance(all)

Cite this

Time-varying copula modelling between Malaysia and major stock markets. / Jafry, Nurul Hanis Aminuddin; Ab Razak, Ruzanna; Ismail, Noriszura.

In: Journal of Social Sciences Research, Vol. 2018, No. Special Issue 6, 01.01.2018, p. 646-652.

Research output: Contribution to journalArticle

Jafry, Nurul Hanis Aminuddin ; Ab Razak, Ruzanna ; Ismail, Noriszura. / Time-varying copula modelling between Malaysia and major stock markets. In: Journal of Social Sciences Research. 2018 ; Vol. 2018, No. Special Issue 6. pp. 646-652.
@article{e9eff2449ffe4430b1363e94a5bf36bb,
title = "Time-varying copula modelling between Malaysia and major stock markets",
abstract = "Studies on dependence between stock markets are important because of their implications on the process of decision-making in investment. Many previous studies measure the dependence between markets using static copula. However, in recent years, time-varying copula has been used as an alternative for measuring dependence due to its capability of capturing time-varying dependence between markets. This study uses both static and time-varying copulas to measure the dependence structure between Malaysia and major stock markets (US, UK and Japan) based on the sample data from year 2007 Q1 until year 2017 Q3. The results reveal that the best model for all pairs of indices is the time-varying SJC copula, which also reveals that the Malaysia-US pair has the weakest dependence structure compared to other pairs. In terms of lower and upper tails, the Malaysia-UK and the Malaysia-Japan pairs have the strongest dependence structure respectively. Evidence from this research suggests that diversifications involving Malaysia and US stock markets are not effective.",
keywords = "Dependence, Diversifications, Malaysia stock market, Time-varying copula",
author = "Jafry, {Nurul Hanis Aminuddin} and {Ab Razak}, Ruzanna and Noriszura Ismail",
year = "2018",
month = "1",
day = "1",
doi = "10.32861/jssr.spi6.646.652",
language = "English",
volume = "2018",
pages = "646--652",
journal = "Journal of Social Sciences Research",
issn = "2413-6670",
publisher = "Academic Research Publishing Group",
number = "Special Issue 6",

}

TY - JOUR

T1 - Time-varying copula modelling between Malaysia and major stock markets

AU - Jafry, Nurul Hanis Aminuddin

AU - Ab Razak, Ruzanna

AU - Ismail, Noriszura

PY - 2018/1/1

Y1 - 2018/1/1

N2 - Studies on dependence between stock markets are important because of their implications on the process of decision-making in investment. Many previous studies measure the dependence between markets using static copula. However, in recent years, time-varying copula has been used as an alternative for measuring dependence due to its capability of capturing time-varying dependence between markets. This study uses both static and time-varying copulas to measure the dependence structure between Malaysia and major stock markets (US, UK and Japan) based on the sample data from year 2007 Q1 until year 2017 Q3. The results reveal that the best model for all pairs of indices is the time-varying SJC copula, which also reveals that the Malaysia-US pair has the weakest dependence structure compared to other pairs. In terms of lower and upper tails, the Malaysia-UK and the Malaysia-Japan pairs have the strongest dependence structure respectively. Evidence from this research suggests that diversifications involving Malaysia and US stock markets are not effective.

AB - Studies on dependence between stock markets are important because of their implications on the process of decision-making in investment. Many previous studies measure the dependence between markets using static copula. However, in recent years, time-varying copula has been used as an alternative for measuring dependence due to its capability of capturing time-varying dependence between markets. This study uses both static and time-varying copulas to measure the dependence structure between Malaysia and major stock markets (US, UK and Japan) based on the sample data from year 2007 Q1 until year 2017 Q3. The results reveal that the best model for all pairs of indices is the time-varying SJC copula, which also reveals that the Malaysia-US pair has the weakest dependence structure compared to other pairs. In terms of lower and upper tails, the Malaysia-UK and the Malaysia-Japan pairs have the strongest dependence structure respectively. Evidence from this research suggests that diversifications involving Malaysia and US stock markets are not effective.

KW - Dependence

KW - Diversifications

KW - Malaysia stock market

KW - Time-varying copula

UR - http://www.scopus.com/inward/record.url?scp=85074803301&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85074803301&partnerID=8YFLogxK

U2 - 10.32861/jssr.spi6.646.652

DO - 10.32861/jssr.spi6.646.652

M3 - Article

AN - SCOPUS:85074803301

VL - 2018

SP - 646

EP - 652

JO - Journal of Social Sciences Research

JF - Journal of Social Sciences Research

SN - 2413-6670

IS - Special Issue 6

ER -