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Jurnal Ekonomi Malaysia

49 (2) 2015 39 – 51

Limpahan Kemeruapan dan Korelasi Dinamik Kadar Pertukaran di ASEAN-5
Volatility Spillover and Dynamic Correlation of Exchange Rate in ASEAN-5 Volatility Spillover and Dynamic Correlation of Exchange Rate in ASEAN-5

School of Business and Economics
Universiti Malaysia Sabah
Jalan UMS
88400 Kota Kinabalu Sabah
MALAYSIA

edy@ums.edu.my

Pusat Pengajian Ekonomi
Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor
MALAYSIA

ahassan@ukm.edu.my

Pusat Pengajian Ekonomi
Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor
MALAYSIA

tamat@ukm.edu.my

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.

Keywords

ASEAN-5; BEKK; DCC; exchange rate; MGARCH

Author’s Acknowledgement

Terima kasih kepada editor jurnal dan para pewasit yang telah memberikan komen bernas dan cadangan yang membina dalam memperbaiki lagi artikel ini. Penghargaan dan ucapan terima kasih juga kepada Universiti Kebangsaan Malaysia dan Kementerian Pendidikan Malaysia atas bantuan dana Skim Geran Penyelidikan Fundamental [Kod Projek: FRGS/1/2013/ SS07/UKM/01/1].

http://dx.doi.org/10.17576/JEM-2015-4902-04
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Kogid, M., Mohd Nor, , & Sarmidi, (2015). Limpahan Kemeruapan dan Korelasi Dinamik Kadar Pertukaran di ASEAN-5. Jurnal Ekonomi Malaysia, 49(2), 39–51. http://dx.doi.org/10.17576/JEM-2015-4902-04

@article{kogid2015limpahan,
  title={Limpahan Kemeruapan dan Korelasi Dinamik Kadar Pertukaran di ASEAN-5},
  author={Kogid, Mori and Mohd Nor, Abu Hassan Shaari and Sarmidi, Tamat},
  journal={Jurnal Ekonomi Malaysia},
  volume={49},
  number={2},
  pages={39—51},
 

year={2015},
}

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