Kemeruapan Bersyarat dan Korelasi Dinamik Pasaran Saham ASEAN

Abu Hassan Shaari Mohd Nor, Mori Kogid, Tamat Sarmidi

Abstract


ABSTRAK

Kajian ini melihat hubung kait antara pasaran saham di rantau ASEAN-5 dengan menggunakan model GARCH multivariat (MGARCH). Hasil kajian menunjukkan bahawa kebanyakan pasaran mengalami darjah kemeruapan yang tinggi dalam tempoh krisis terutama semasa krisis kewangan Asia. Hasil kajian juga menunjukkan korelasi antara pasaran adalah positif dan berubah mengikut masa dengan darjah korelasi antara pasaran dilihat lebih tinggi dalam tempoh krisis. Kajian juga mendapati wujud kesan kejutan asimetri yang signifikan dalam mempengaruhi korelasi antara pasaran saham di ASEAN-5. Kemeruapan pasaran dan krisis ekonomi merupakan antara faktor yang mungkin mempengaruhi hubungan korelasi antara pasaran saham. Hasil kajian juga menunjukkan bahawa pasaran saham di ASEAN-5 semakin berintegrasi dengan darjah korelasi antara pasaran yang cenderung meningkat selepas krisis kewangan global. Keadaan ini mungkin memberikan indikasi kepada proses penumpuan ekonomi di rantau ASEAN. Hasil kajian adalah penting kepada implikasi dasar dan ekonomi (kewangan) terutama kepada para pelabur dan pengamal kewangan serta pembuat dasar.

Kata kunci: ASEAN; pasaran saham; kemeruapan; koralasi dinamik; MGARCH; ADCC

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 finds 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: ASEAN; stock market; volatility; dynamic correlation; MGARCH; ADCC


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