Volatility – Jurnal Pengurusan

Kemeruapan Bersyarat dan Korelasi Dinamik Pasaran Saham ASEAN

Faris A181711 — Tue, 11 Oct 2022 04:19:26 +0000

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 fi nds 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.

Krisis Subprima dan Kemeruapan Harga Saham Mengikut Sektor Ekonomi di Bursa Malaysia

sufizulkarnain01 — Sat, 08 Oct 2022 17:55:39 +0000

This paper aims to examine the volatility of stock prices by sub-sectors of the economy in the Malaysian Bourse, and also to identify the sub-sectors that have persistence volatility. Time series econometrics methods namely ARCH and GARCH models are used in identifying the level of stock prices volatility in three periods, that is, before, during and after the subprime crisis. The stock prices of financial sector showed a persistency of volatility for the period of pre and during crisis. While, the stock prices of industrial production sector is relatively the most stable than others in the period of during and post-crisis. The results using EGARCH model revealed that stock prices of construction sector has a persistency of volatility during the crisis periods. The policy implication of this study shows that the potential investors should consider to invest in the industrial production sector because the stock prices is relatively more stable than others sector. Investment strategy to diversify investment portfolio can reduce the element of risk and generate returns.