Fakulti Sains dan Sumber Alam
Universiti Malaysia Sabah
88400 Kota Kinabalu, Sabah, MALAYSIA.
Pusat Pengajian Ekonomi
Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.
Pusat Pengajian Ekonomi
Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA
Abstract
This paper aims to examine the volatility of stock prices by sub-sectors of the economy in the Malaysian Bourse, and also to identify the sub-sectors that have persistence volatility. Time series econometrics methods namely ARCH and GARCH models are used in identifying the level of stock prices volatility in three periods, that is, before, during and after the subprime crisis. The stock prices of financial sector showed a persistency of volatility for the period of pre and during crisis. While, the stock prices of industrial production sector is relatively the most stable than others in the period of during and post-crisis. The results using EGARCH model revealed that stock prices of construction sector has a persistency of volatility during the crisis periods. The policy implication of this study shows that the potential investors should consider to invest in the industrial production sector because the stock prices is relatively more stable than others sector. Investment strategy to diversify investment portfolio can reduce the element of risk and generate returns.
Keywords
Citation
@article{surianshah2017krisis,
title={Krisis Subprima dan Kemeruapan Harga Saham Mengikut Sektor Ekonomi di Bursa Malaysia},
author={Surianshah, Sarimah and Abdul Karim, Zulkefly and Khalid, Norlin},
journal={Jurnal Pengurusan},
number={},
pages={77—87},
doi={https://doi.org/10.17576/pengurusan-2017-49-07},
publisher={Penerbit UKM},
}
Article received:
Accepted for publication:
Available online:
49 (2017) 77 – 87
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