Inter-relationship Between Malaysian and Selected Stock Markets in the Far East and New York: Parametric Versus Nonparametric Approach Revisited

Jabatan Kewangan
Fakulti Pengurusan Perniagaan
Universiti Kebangsaan Malaysia
43600 UKM Bangi
Selangor D. E.


Abstract

Most of the past studies suggested that considerable gains were available to investors who diversify their investment portfolio internationally due to the usually low positive or negative correlations among world’s stock markets. This study looks at the issue of stock market co-movement from a nonparametric approach as well as the commonly used parametric approach. This study uses daily and weekly indices of the markets of Malaysia, Hong Kong, Australia, Japan, and the United States for a period from January 1984 to December 1988. In general, the results of both techniques are not totally in agreement with each other. However, both techniques suggest that the co-movements among these markets are not stable with time which means that it is difficult to construct an optimal investment strategy based on the co- movements.

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Citation

Yong, O. (1993). Inter-relationship Between Malaysian and Selected Stock Markets in the Far East and New York: Parametric Versus Nonparametric Approach Revisited. Jurnal Pengurusan, 12, 65–84.

@article{yong1993interrelationship,
  title={Inter-relationship Between Malaysian and Selected Stock Markets in the Far East and New York: Parametric Versus Nonparametric Approach Revisited},
  author={Yong, Othman},
  journal={Jurnal Pengurusan},
 

volume={12},
  number={},
  pages={65—84},
  year={1993},
  doi={},
  publisher={Penerbit UKM},
}

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12 (1993) 65 – 84

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