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Volatility Persistence and Shock Absorption Capacity of the Malaysian Stock Market

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dc.contributor.author Elshareif, Elgilani Eltahir
dc.contributor.author Kabir, Muhammed
dc.date.accessioned 2020-10-13T09:30:40Z
dc.date.available 2020-10-13T09:30:40Z
dc.date.copyright 2017
dc.date.issued 2017
dc.identifier.citation Elshareif E.E. & Kabir M. (2017). Volatility Persistence and Shock Absorption Capacity of the Malaysian Stock Market. In: Benlamri R., Sparer M. (eds) Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-319-43434-6_61 en_US
dc.identifier.isbn 978-3-319-43433-9
dc.identifier.uri https://doi.org/10.1007/978-3-319-43434-6_61
dc.identifier.uri http://hdl.handle.net/20.500.12519/260
dc.description This conference paper is not available at CUD collection. The version of scholarly record of this conference paper is published in Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy (2017), available online at: https://doi.org/10.1007/978-3-319-43434-6_61 en_US
dc.description.abstract Estimation 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. © Springer International Publishing Switzerland 2017 en_US
dc.language.iso en en_US
dc.publisher Springer, Cham en_US
dc.relation Authors Affiliations : Elgilani Eltahir Elshareif, Canadian University of Dubai DubaiUnited Arab Emirates ; Muhammed Kabir, University of New Brunswick Saint John Canada
dc.relation.ispartofseries Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy;
dc.rights License to reuse the abstract has been secured from Springer Nature and Copyright Clearance Center.
dc.rights.uri https://s100.copyright.com/CustomerAdmin/PLF.jsp?ref=9887cb48-109d-4d5e-81b0-396ac484243e
dc.subject Volatility persistence en_US
dc.subject Malaysian stock market en_US
dc.subject Shock absorption capacity en_US
dc.subject EGARCH-M en_US
dc.title Volatility Persistence and Shock Absorption Capacity of the Malaysian Stock Market en_US
dc.type Conference Paper en_US
dc.rights.holder Copyright : © Springer International Publishing Switzerland 2017


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