Volatility spillover and dynamic co-movement of foreign direct investment between Malaysia and China and developed countries

Mori Kogid and Jaratin Lily and Rozilee Asid and James M. Alin and Dullah Mulok (2022) Volatility spillover and dynamic co-movement of foreign direct investment between Malaysia and China and developed countries. Quality & Quantity International Journal of Methodology, 56. pp. 131-148. ISSN 1573-7845 (E-ISSN) , 0033-5177 (P-ISSN)

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URL: https://link.springer.com/article/10.1007/s11135-0...

Abstract

This study delves into the relationship between Malaysia and several countries—China, Singapore, Japan and the United States of America (USA), through FDI relations using the multivariate GARCH model. The annual time series data was used over the period of 1982 to 2017. The study was able to prove statistically, of a significant volatility spillover between Malaysia and China, Singapore, Japan and the USA. The study also found that the relationship between FDI for all these countries varied over time, which was dynamic in nature. Relatively low (weak) correlations occurred between Malaysia and Singapore and Japan, while high (strong) correlations occurred between Malaysia and China and the USA. In addition, the finding also showed that although there was evidence due to significant impacts, both the Asian financial crisis and the global financial crisis did not entirely affect the market trends and the relationship between foreign direct investments across all these countries.

Item Type:	Article
Keyword:	FDI , Volatility spillover , Dynamic co-movement , BEKK , DCC , Malaysia
Subjects:	H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation H Social Sciences > HJ Public Finance > HJ9-9940 Public finance > HJ9701-9940 Public accounting. Auditing
Department:	FACULTY > Faculty of Business, Economics and Accounting
Depositing User:	SITI AZIZAH BINTI IDRIS -
Date Deposited:	08 Jul 2022 14:23
Last Modified:	08 Jul 2022 14:23
URI:	https://eprints.ums.edu.my/id/eprint/32974

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