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Volatility component of derivative market: evidence from FBMKLCI based on CGARCH

This study examines the volatility component of Malaysian stock index. Despite extensive studies on stock index volatility, there are relatively few studies examining the volatility component of stock index in Malaysia. Using data from January 1, 2009 to December 31, 2013, this study aims to examine...

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Main Authors: Haron, Razali, Mansurat Ayojimi, Salami
Format: Article
Language:English
Published: Journal of Global Business and Social Entrepreneurship (GBSE) 2016
Subjects:
HG Finance
Online Access:http://irep.iium.edu.my/50213/1/GBSE_1%282%29%2C_1-5_%28March_2016%29.pdf
http://irep.iium.edu.my/50213/
http://gbse.com.my/isimarch16/GBSE%201(2)%201-5%20(March%202016).pdf
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spelling my.iium.irep.502132016-07-18T01:23:35Z http://irep.iium.edu.my/50213/ Volatility component of derivative market: evidence from FBMKLCI based on CGARCH Haron, Razali Mansurat Ayojimi, Salami HG Finance This study examines the volatility component of Malaysian stock index. Despite extensive studies on stock index volatility, there are relatively few studies examining the volatility component of stock index in Malaysia. Using data from January 1, 2009 to December 31, 2013, this study aims to examine the volatility component of Malaysian stock index post financial crisis period, specifically on the mean-reversion, short-run (transitory) volatility, long-run (permanent) and speed of adjustment based on the generalized autoregressive conditional heteroskedasticity (GARCH). The finding reveals that both the KLCI and KLCI-Futures have persistence permanent volatility component, but transitory volatility components, on the other hand varies between the two markets. This study later confirms a faster mean-reversion in the KLCI-Futures comparative to KLCI. Nevertheless, the KLCI mean return remains positive during post crisis periods comparative to the futures market. Journal of Global Business and Social Entrepreneurship (GBSE) 2016-03 Article REM application/pdf en http://irep.iium.edu.my/50213/1/GBSE_1%282%29%2C_1-5_%28March_2016%29.pdf Haron, Razali and Mansurat Ayojimi, Salami (2016) Volatility component of derivative market: evidence from FBMKLCI based on CGARCH. Journal of Global Business and Social Entrepreneurship (GBSE), 1 (2). pp. 1-5. http://gbse.com.my/isimarch16/GBSE%201(2)%201-5%20(March%202016).pdf
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic HG Finance
spellingShingle HG Finance
Haron, Razali
Mansurat Ayojimi, Salami
Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
description This study examines the volatility component of Malaysian stock index. Despite extensive studies on stock index volatility, there are relatively few studies examining the volatility component of stock index in Malaysia. Using data from January 1, 2009 to December 31, 2013, this study aims to examine the volatility component of Malaysian stock index post financial crisis period, specifically on the mean-reversion, short-run (transitory) volatility, long-run (permanent) and speed of adjustment based on the generalized autoregressive conditional heteroskedasticity (GARCH). The finding reveals that both the KLCI and KLCI-Futures have persistence permanent volatility component, but transitory volatility components, on the other hand varies between the two markets. This study later confirms a faster mean-reversion in the KLCI-Futures comparative to KLCI. Nevertheless, the KLCI mean return remains positive during post crisis periods comparative to the futures market.
format Article
author Haron, Razali
Mansurat Ayojimi, Salami
author_facet Haron, Razali
Mansurat Ayojimi, Salami
author_sort Haron, Razali
title Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
title_short Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
title_full Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
title_fullStr Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
title_full_unstemmed Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
title_sort volatility component of derivative market: evidence from fbmklci based on cgarch
publisher Journal of Global Business and Social Entrepreneurship (GBSE)
publishDate 2016
url http://irep.iium.edu.my/50213/1/GBSE_1%282%29%2C_1-5_%28March_2016%29.pdf
http://irep.iium.edu.my/50213/
http://gbse.com.my/isimarch16/GBSE%201(2)%201-5%20(March%202016).pdf
_version_ 1643613686770696192
score 13.211869

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