Kemeruapan Bersyarat dan Korelasi Dinamik Pasaran Saham ASEAN
Conditional Volatility and Dynamic Correlation of ASEAN Stock Market

Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

ahshaari@yahoo.com, ahassan@ukm.edu.my

Fakulti Perniagaan, Ekonomi dan Perakaunan
Universiti Malaysia Sabah
88400 Kota Kinabalu, Sabah, MALAYSIA.

morikogid@gmail.com

Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

tamat@ukm.edu.my

Abstract

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.

Keywords

ADCC; ASEAN; dynamic correlation; MGARCH; stock market; Volatility

Citation

Mohd Nor, A. H. S, Kogid, M., & Sarmidi, T. (2015). Kemeruapan Bersyarat dan Korelasi Dinamik Pasaran Saham ASEAN. Jurnal Pengurusan, 43, 47–59.

@article{mdnor2015kemeruapan,
  title={Kemeruapan Bersyarat dan Korelasi Dinamik Pasaran Saham ASEAN},
  author={Mohd Nor, Abu Hassan Shaari and Kogid, Mori and Sarmidi, Tamat},
  journal={Jurnal Pengurusan},
 

volume={43},
  number={},
  pages={47—59},
  year={2015},
  doi={},
  publisher={Penerbit UKM},
}

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43 (2015) 47 – 59

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