表紙画像

The effects of capital account liberalization and macroeconomic factors on firm-level stock returns volatilty in Malaysia

There are a number of research that have analysed the impact of financial liberalisation and macroeconomic factors on stock returns volatility. However, the results have been somewhat mixed. In the case of Malaysia, the current research estimates volatility using an EGARCH model where risk factors o...

詳細記述

保存先:
書誌詳細
主要な著者: Saizal Pinjaman, Sarma Aralas
フォーマット: Conference or Workshop Item
言語:English
English
出版事項: 2018
主題:
HB1-3840 Economic theory. Demography
オンライン･アクセス:https://eprints.ums.edu.my/id/eprint/33864/1/The%20effects%20of%20capital%20account%20liberalization%20and%20macroeconomic%20factors%20on%20firm-level%20stock%20returns%20volatilty%20in%20Malaysia.pdf
https://eprints.ums.edu.my/id/eprint/33864/2/The%20effects%20of%20capital%20account%20liberalization%20and%20macroeconomic%20factors%20on%20firm-level%20stock%20returns%20volatilty%20in%20Malaysia%20_ABSTRACT.pdf
https://eprints.ums.edu.my/id/eprint/33864/
https://www.researchgate.net/profile/Saizal-Pinjaman/publication/335791661_THE_EFFECTS_OF_CAPITAL_ACCOUNT_LIBERALIZATION_AND_MACROECONOMIC_FACTORS_ON_FIRM-LEVEL_STOCK_RETURNS_VOLATILTY_IN_MALAYSIA/links/5d7b8b7992851c87c37b567b/THE-EFFECTS-OF-CAPITAL-ACCOUNT-LIBERALIZATION-AND-MACROECONOMIC-FACTORS-ON-FIRM-LEVEL-STOCK-RETURNS-VOLATILTY-IN-MALAYSIA.pdf
タグ: タグ追加
タグなし, このレコードへの初めてのタグを付けませんか!
id my.ums.eprints.33864
record_format eprints
spelling my.ums.eprints.338642022-08-19T06:12:12Z https://eprints.ums.edu.my/id/eprint/33864/ The effects of capital account liberalization and macroeconomic factors on firm-level stock returns volatilty in Malaysia Saizal Pinjaman Sarma Aralas HB1-3840 Economic theory. Demography There are a number of research that have analysed the impact of financial liberalisation and macroeconomic factors on stock returns volatility. However, the results have been somewhat mixed. In the case of Malaysia, the current research estimates volatility using an EGARCH model where risk factors of stock returns are defined based on CAPM. Using dynamic panel data analysis from the years 1995 to 2013, our results suggest that interest rate has a positive relationship with stock returns volatility. In addition, economic development and exchange rate are found to have negative relationships with volatility. On the other hand, Consumer Price Index and money supply are found to be not statistically significant in influencing volatility. Further, the effect of capital account liberalisation is mixed, and dependent on the liberalisation indices used to measure liberalisation. 2018 Conference or Workshop Item PeerReviewed text en https://eprints.ums.edu.my/id/eprint/33864/1/The%20effects%20of%20capital%20account%20liberalization%20and%20macroeconomic%20factors%20on%20firm-level%20stock%20returns%20volatilty%20in%20Malaysia.pdf text en https://eprints.ums.edu.my/id/eprint/33864/2/The%20effects%20of%20capital%20account%20liberalization%20and%20macroeconomic%20factors%20on%20firm-level%20stock%20returns%20volatilty%20in%20Malaysia%20_ABSTRACT.pdf Saizal Pinjaman and Sarma Aralas (2018) The effects of capital account liberalization and macroeconomic factors on firm-level stock returns volatilty in Malaysia. In: International Conference on Tourism, Business and Technology (ICTBT, 2018), 8-9 December 2018, Kota Kinabalu, Sabah, Malaysia. https://www.researchgate.net/profile/Saizal-Pinjaman/publication/335791661_THE_EFFECTS_OF_CAPITAL_ACCOUNT_LIBERALIZATION_AND_MACROECONOMIC_FACTORS_ON_FIRM-LEVEL_STOCK_RETURNS_VOLATILTY_IN_MALAYSIA/links/5d7b8b7992851c87c37b567b/THE-EFFECTS-OF-CAPITAL-ACCOUNT-LIBERALIZATION-AND-MACROECONOMIC-FACTORS-ON-FIRM-LEVEL-STOCK-RETURNS-VOLATILTY-IN-MALAYSIA.pdf
institution Universiti Malaysia Sabah
building UMS Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sabah
content_source UMS Institutional Repository
url_provider http://eprints.ums.edu.my/
language English
English
topic HB1-3840 Economic theory. Demography
spellingShingle HB1-3840 Economic theory. Demography
Saizal Pinjaman
Sarma Aralas
The effects of capital account liberalization and macroeconomic factors on firm-level stock returns volatilty in Malaysia
description There are a number of research that have analysed the impact of financial liberalisation and macroeconomic factors on stock returns volatility. However, the results have been somewhat mixed. In the case of Malaysia, the current research estimates volatility using an EGARCH model where risk factors of stock returns are defined based on CAPM. Using dynamic panel data analysis from the years 1995 to 2013, our results suggest that interest rate has a positive relationship with stock returns volatility. In addition, economic development and exchange rate are found to have negative relationships with volatility. On the other hand, Consumer Price Index and money supply are found to be not statistically significant in influencing volatility. Further, the effect of capital account liberalisation is mixed, and dependent on the liberalisation indices used to measure liberalisation.
format Conference or Workshop Item
author Saizal Pinjaman
Sarma Aralas
author_facet Saizal Pinjaman
Sarma Aralas
author_sort Saizal Pinjaman
title The effects of capital account liberalization and macroeconomic factors on firm-level stock returns volatilty in Malaysia
title_short The effects of capital account liberalization and macroeconomic factors on firm-level stock returns volatilty in Malaysia
title_full The effects of capital account liberalization and macroeconomic factors on firm-level stock returns volatilty in Malaysia
title_fullStr The effects of capital account liberalization and macroeconomic factors on firm-level stock returns volatilty in Malaysia
title_full_unstemmed The effects of capital account liberalization and macroeconomic factors on firm-level stock returns volatilty in Malaysia
title_sort effects of capital account liberalization and macroeconomic factors on firm-level stock returns volatilty in malaysia
publishDate 2018
url https://eprints.ums.edu.my/id/eprint/33864/1/The%20effects%20of%20capital%20account%20liberalization%20and%20macroeconomic%20factors%20on%20firm-level%20stock%20returns%20volatilty%20in%20Malaysia.pdf
https://eprints.ums.edu.my/id/eprint/33864/2/The%20effects%20of%20capital%20account%20liberalization%20and%20macroeconomic%20factors%20on%20firm-level%20stock%20returns%20volatilty%20in%20Malaysia%20_ABSTRACT.pdf
https://eprints.ums.edu.my/id/eprint/33864/
https://www.researchgate.net/profile/Saizal-Pinjaman/publication/335791661_THE_EFFECTS_OF_CAPITAL_ACCOUNT_LIBERALIZATION_AND_MACROECONOMIC_FACTORS_ON_FIRM-LEVEL_STOCK_RETURNS_VOLATILTY_IN_MALAYSIA/links/5d7b8b7992851c87c37b567b/THE-EFFECTS-OF-CAPITAL-ACCOUNT-LIBERALIZATION-AND-MACROECONOMIC-FACTORS-ON-FIRM-LEVEL-STOCK-RETURNS-VOLATILTY-IN-MALAYSIA.pdf
_version_ 1760231218998149120
score 13.251813

類似資料