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Browsing Finance by Author "Kabir, Muhammed"
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Item Do Vaccines’ Announcements Cure Stock Market Volatility? Evidence From the Gulf Cooperation Council (GCC) Markets(Universiti Putra Malaysia, 2022) Elshareif, Elgilani; Kabir, Muhammed; Contu, Davide; Mujahed, MuradItem Estimating risk premium and volatility persistence in Malaysian stock market(Inderscience Enterprises Limited, 2017) Elshareif, Elgilani; Kabir, MuhammedExternal shocks induced volatility, and persistence of the volatility has been examined for the Malaysian stock market using a model where risk-return trade-off has been incorporated. In the current study, the stock market index has been disaggregated into four different sub-sectors which have provided an opportunity to compare and contrast the inter-sectoral variance in response to external shocks and persistence of the effects of these shocks. The sectoral breakdown provides a deeper insight into the dynamic adjustment mechanism which is invariably masked in studies that use the aggregate data. This paper also finds that the risk premium coefficient is positive and statistically significant and thus concludes that the Malaysian stock return is influenced by conditional variance. More precise estimation of volatility is a pre-requisite for designing policy measures to smooth out fluctuations in stock indices, and consequently encouraging investment not only in the stock market but also in the real economy has far reaching consequences. The results have significance also for portfolio managers and investors who are managing funds to optimise risk-adjusted returns.Item Volatility Persistence and Shock Absorption Capacity of the Malaysian Stock Market(Springer Science and Business Media B.V., 2017) Elshareif, Elgilani Eltahir; Kabir, MuhammedEstimation of the extent of volatility in stock markets induced by external shocks and the persistence of it is very important and has policy significance for the macroeconomic policy makers, central bankers, and the financial market participants. In the current study, we examine the overestimation bias of volatility and its persistence using EGARCH-M models for the Malaysian stock market composite index (KLCI), as well as three sub-sectoral indices. The empirical evidence shows that there are asymmetric responses by the stock indices whereby volatility originating from ascending versus descending stock market has different impacts. In addition, we have found that the volatility is highly persistent and the shock absorption capacity of the stock market has been underestimated. However, this finding suggests that there might have been some estimation bias due to misspecification of the model. This implies that the policy makers and market participants must exercise caution in drawing conclusions from this class of models. © 2017, Springer International Publishing Switzerland.