Volatility Persistence and Shock Absorption Capacity of the Malaysian Stock Market

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dc.contributor.authorElshareif, Elgilani Eltahir
dc.contributor.authorKabir, Muhammed
dc.date.accessioned2022-04-08T06:22:07Z
dc.date.available2022-04-08T06:22:07Z
dc.date.copyright© 2017
dc.date.issued2017
dc.descriptionThis conference paper is not available at CUD collection. The version of scholarly record of this conference paper is published in Springer Proceedings in Business and Economics (2017), available online at: https://doi.org/10.1007/978-3-319-43434-6_61en_US
dc.description.abstractEstimation 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.en_US
dc.identifier.citationElshareif, E.E. & Kabir, M. (2017). Volatility Persistence and Shock Absorption Capacity of the Malaysian Stock Market. Paper presented at the Springer Proceedings in Business and Economics, 699 - 704. https://doi.org/10.1007/978-3-319-43434-6_61en_US
dc.identifier.isbn978-331943433-9
dc.identifier.issn21987246
dc.identifier.urihttp://hdl.handle.net/20.500.12519/530
dc.identifier.urihttps://doi.org/10.1007/978-3-319-43434-6_61
dc.language.isoenen_US
dc.publisherSpringer Science and Business Media B.V.en_US
dc.relationAuthors Affiliations : Elshareif, E.E., Canadian University of Dubai, 117781, Dubai, United Arab Emirates; Kabir, M., Canadian University of Dubai, 117781, Dubai, United Arab Emirates, University of New Brunswick, Saint John, NB, Canada
dc.rightsLicense to reuse the abstract has been secured from Springer Nature and Copyright Clearance Center.
dc.rights.holderCopyright : © 2017, Springer International Publishing Switzerland.
dc.rights.licenseLicense Number: 5275340725429 License date: Mar 24, 2022
dc.rights.urihttps://s100.copyright.com/CustomerAdmin/PLF.jsp?ref=1d02eaa5-40c9-4e93-a69c-4e737f66da3c
dc.subjectEGARCH-Men_US
dc.subjectMalaysian stock marketen_US
dc.subjectShock absorption capacityen_US
dc.subjectVolatility persistenceen_US
dc.titleVolatility Persistence and Shock Absorption Capacity of the Malaysian Stock Marketen_US
dc.typeConference Paperen_US
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