Estimating risk premium and volatility persistence in Malaysian stock market

dc.contributor.authorElshareif, Elgilani
dc.contributor.authorKabir, Muhammed
dc.descriptionThis article is not available at CUD collection. The version of scholarly record of this article is published in International Journal of Accounting and Finance (2017), available online at:
dc.description.abstractExternal 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.en_US
dc.identifier.citationElshareif, E., & Kabir, M. (2017). Estimating risk premium and volatility persistence in Malaysian stock market. International Journal of Accounting and Finance, 7(1), 1-10.
dc.publisherInderscience Enterprises Limiteden_US
dc.relationAuthors Affiliations : Elgilani Elshareif Canadian University Dubai, Dubai, UAE ; Muhammed Kabir University of New Brunswick and Canadian University Dubai, Saint John, NB, Canada and Dubai, UAE
dc.relation.ispartofseriesInternational Journal of Accounting and Finance;Volume 7, Number 1
dc.rightsPermission to reuse the abstract has been secured from Inderscience Enterprises Ltd..
dc.subjectvolatility persistenceen_US
dc.subjectrisk premiumen_US
dc.subjectICSS algorithmen_US
dc.titleEstimating risk premium and volatility persistence in Malaysian stock marketen_US
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