Keberkesanan Dasar Kadar Pertukaran Tetap: Analisis VaR ke atas Pasaran Saham di BSKL

Pusat Pengajian Ekonomi
Fakulti Ekonomi dan Perniagaan
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor D.E
Malaysia


Pusat Pengajian Ekonomi
Fakulti Ekonomi dan Perniagaan
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor D.E
Malaysia


Abstract

The main purpose of this paper is to study the effect of fixed exchange rate policy on the performance of selected stock returns at KLSE. The EGARCH model is used to forecast volatility and to calculate ‘Value at risk’ (VaR). Based on the estimated VaR, mining index has the highest risk while industral index has the lowest risk. The fixed exchange rate policy has reduced the risk by as much as 50% for some selected stocks at KLSE.

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Citation

Mohd Nor, A. H. S, & Faizal, A. (2004). Keberkesanan Dasar Kadar Pertukaran Tetap: Analisis VaR ke atas Pasaran Saham di BSKL. Jurnal Pengurusan, 23, 53–72.

@article{mohdnor2004keberkesanan,
  title={Keberkesanan Dasar Kadar Pertukaran Tetap: Analisis VaR ke atas Pasaran Saham di BSKL},
  author={Mohd Nor, Abu Hassan Shaari and Faizal, Andry},
  journal={Jurnal Pengurusan},
 

volume={23},
  number={},
  pages={53—72},
  year={2004},
  doi={},
  publisher={Penerbit UKM},
}

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23 (2004) 53 – 72

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