Stock returns and volatility: An Empirical study of Malaysian stock market

Ng , Hui Jie (2007) Stock returns and volatility: An Empirical study of Malaysian stock market. Masters thesis, Universiti Malaysia Sabah.

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Abstract

This paper investigates the time-series behavior of stock returns for Malaysia stock market. A weekly sample for Kuala Lumpur Composite Index from January 1977'to February 2007 and sample for EMAS from April 1992 to June 2006 from Malaysia is examined. In most studies, higher average returns appear to be associated with a higher level of volatility. The GARCH(1,1) is used to analyze the relationship between returns and volatility on the Kuala Lumpur Composite Index and EMAS. The evidence shows that the volatility Malaysia stock market is highly persistent. Further analysis the relationship between unexpected return shock and volatility by using TARCH(1,1) and EGARCH(1,1). The result indicates that TARCH(1,1) is no asymmetric effect. However, when using EGARCH(1,1) there are asymmetric effect but not significant.

Item Type:Thesis (Masters)
Uncontrolled Keywords:time-series, behavior of stock, Kuala Lumpur Composite Index, asymmetric effect
Subjects:H Social Sciences > HG Finance
Divisions:SCHOOL > School of Business and Economics
ID Code:6792
Deposited By:IR Admin
Deposited On:21 Aug 2013 15:25
Last Modified:21 Aug 2013 15:25

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