Sains Malaysiana 35(1): 95-105 (2006)

Impak Pengenalan Instrumen Derivatif Terhadap Kemeruapan

PulanganSaham di Pasaran Semerta: Satu

Kajian Empirik di Bursa Malaysia

(The Impact of the Introduction of Derivatives Instruments on the Level of

Spot Market Volatility: An empirical Study on Bursa Malaysia)

Zaidi Bin Isa

Program Sains Aktuari

Pusat Pengajian Sains Matematik

Fakulti Sains dan Teknologi

43600 UKM Bangi, Selangor D.E. Malaysia

ABSTRAK

Kajian yang dijalankan ini bertujuan untuk melihat impak pengenalan instrumen derivatif ke atas kemeruapan pulangan saham di pasaran semerta. Kajian ini juga mengambil kira kesemua instrumen derivatif yang telah diperkenalkan di pasaran tempatan. Data harian bagi indeks komposit dan sebilangan indeks-indeks untuk setiap sektor akan digunakan di dalam kajian ini bagi mengkaji kesan secara keseluruhan dan mengikut sektor. Dengan menggunakan model GARCH terubahsuai iaitu dengan mengambil kira kesan perubahan struktur. Kajian ini mendapati wujudnya kesan yang bercampur-campur. Secara umumnya, pengenalan instrumen derivative mampu untuk mengurangkan tahap kemeruapan pulangan dan secara langsung menstabilkan pasaran saham. Tambahan pula, ia turut mempertingkatkan lagi kadar dan kualiti aliran maklumat ke dalam pasaran dan dengan demikian menjadikan pasaran saham bertambah efisien.

Kata kunci: Instrumen derivatif, Bursa Malaysia, GARCH, modified GARCH terubahsuai, kemeruapan, pasaran semerta

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.

Keywords: Derivatives instruments, bursa Malaysia, GARCH, modified GARCH, spot market, volatility

RUJUKAN/REFERENCES

Antoniou, A & Holmes, P.1995. Futures trading, information and spot price volatility: Evidence for the FTSE-l 00 stock index futures contract using GARCH. Journal of Banking and Finance 19: 117-129.

Antoniou, A., Holmes, P. & Priestly, R 1998. The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news. Journal of Future Market 18: 151-166.

Baldaouf, D. & Santoni, F. 1991. Stock price volatility: some evidence from an ARCH model. Journal of Future Markets 11: 191-200.

Becchetti, L & Caggese, A. 2000. Effects of index option introduction on stock index volatility: a procedure for empirical testing based on SSC-GARCH models. Applied Financial Economics 10: 323-341.

Becchetti, L. 1996. The effect of bond plus equity warrant issues on stock volatility: an empirical analysis with conditional and unconditional volatility measures. Applied Financial Economics 6: 327-335.

Bera,A& Higgins, M. 1993. ARCH models: properties estimation and testing, Journal of Economic Survey 7: 305-366.

Black, F. 1975. Fact and fantasy in the use of options, Financial Analyst Journal 31: 36-41.

Black, J.M. & Tonks, 1. 1992. Asset price variability in a rational expectation equilibrium. European Economic Review 36: 1367-1377.

Bollerslev, T. 1986. Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics 31: 307-327.

Bollen, N., 1998. A note on the impact of options on stock return volatility, Journal of Banking and Finance 22: 1181-1191.

Bologna, P & Cavallo, L., 2002. Does the introduction of stock index futures effectively reduce stock market volatility? Is the "futures effect" immediate? Evidence from Italian stock exchange using GARCH. Applied Financial Economics 12: 183-192.

Choi, H. & Subrahmanyam, A, 1993. Using intra-day data to test for the effect of index futures on underlying stock markets. Journal Futures Markets 14: 293-322.

Cox, J. & Rubinstein, M. 1995. Options Markets, Englewood Cliffs, NJ: Prentice Hall.

Damodaran, A. 1990. Index futures and stock market volatility. Review of Futures Market 9: 442-457.

Damodaran, A. & Lim, J. 1991. The effect of option listing on the underlying stock's return process. Journal of Banking and Finance 15: 647-664.

DeTemple, J. & Orion, P. 1990. Option listing and stock return: an empirical analysis. Journal of Banking and Finance 14: 781-801.

Edwards, F. 1988. Does futures trading increase stock market volatility? Financial Analyst Journal 44: 63-69.

Engle, RF, 1982. Autoregressive Conditional Heteroscedasticity with estimates of the variance of United Kingdom inflation. Economica 17: 987-1007.

Engle, R.F. & Ng, Y.1993. Measuring and testing the impact of news on volatility. Journal of Finance 48 (5): 1749-1778.

Engle, RF. 1990. Stock volatility and the crash of' 87: discussion, Review of Financial Studies 3(1): 103-106.

French, K.R & Roll, R, 1986. Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics 17: 5-26.

Glosten, L., Jaganathan, R & Runkle, D. 1989. Relationship between expected value and the volatility of the nominal excess return on stock., Working paper, Department of Finance, Columbia University.

Gorton, G, B. & Pennacchi, G.G. 1993. Security baskets and index-linked securities, Journal of Business 66: 1-27.

Greene, WH. 1997. Ecometric Analysis, Englewood Cliffs, NJ: Prentice Hall, Edisi (3).

Harris, L., 1989. S&P 500 cash stock price volatilities. Journal of Finance 4: 1155-1176.

Ho, L,J. & Liu, C.S. 1997. A reexamination of price behaviour surrounding option introduction Quaterly. Journal of Business and Economics 36: 39-51.

Holmes, P. 1996. Spot price volatility, information and futures trading: evidence from a thinly traded market. Applied Economics Letter 3: 63-66.

Kumar, R, Sarin, A. & Shastri, K. 1995. Impact of index options on the underlying stock: the evidence from listing of Nikkei stock options. Pacific-Basin Finance Journal 3: 303-317.

Lamaoreux, CG., & Lastrapes, W.D. 1990. Heteroscedasticity in stock return data: volume versus GARCH effect. Journal of Finance 45: 221-230.

Lee, S., & Ohk, K. 1993. Stock index futures listing and structural change on time-varying volatility. Journal of Futures Markets 12: 39-51.

Mckenzie, M.D, Brailsford, T.J. & Faff, R.W. 2001. New insights into the impact of the introduction of futures trading on stock price volatility. Journal of Futures Markets 21 (3): 237-255.

Nelson, D.B. 1989. Price volatility, international market links and their implications for regulatory policies: commentary. Journal of Financial Services Research 3 (2-3): 247-254.

Pericili, A & Koutmod, G., 1997. Index futures and options and stock market volatility. Journal of Futures Markets 17: 957­-974.

Pierre, E, F. 1998. The impact of option introduction on the conditional return distribution of underlying securities, Financial Review 33: 105-119.

Poterba, J .M. & Summers, L.H, 1986. The persistence of volatility and stock market fluctuation. American Economic Review 76: 1142-1151.

Robinson, G, 1994. The effects of futures on cash market volatility: Evidence from the London Stock Exchange, Review of Future Market 13: 429-452.

Skinner, D. J., Option market and stock return volatility. Journal of Financial Economics 23(1): 61-78.

Sorescu, M. S. 2000. The effect of options on stock price. The Journal of Finance 25 (1): 487-514.

Wang, Y. 1993. Near-rational behaviour and financial market fluctuations. The Economic Journal 103: 1462-1478.

Watt, W, Yadav, P. & Draoer, P. 1992. The impact of option listing under lying stock returns: The UK evidence. Journal of Business Finance and Accounting 19: 485-503.

Yu, S. 2001. Index futures trading and spot price volatility. Applied Economics Letters 8: 183-186.