Volatility Persistence and Shock Absorption Capacity of the Malaysian Stock Market

dc.contributor.author Elshareif, Elgilani Eltahir
dc.contributor.author Kabir, Muhammed
dc.date.accessioned 2022-04-08T06:22:07Z
dc.date.available 2022-04-08T06:22:07Z
dc.date.copyright © 2017
dc.date.issued 2017
dc.description This 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_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. © 2017, Springer International Publishing Switzerland. en_US
dc.identifier.citation Elshareif, 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_61 en_US
dc.identifier.isbn 978-331943433-9
dc.identifier.issn 21987246
dc.identifier.uri http://hdl.handle.net/20.500.12519/530
dc.identifier.uri https://doi.org/10.1007/978-3-319-43434-6_61
dc.language.iso en en_US
dc.publisher Springer Science and Business Media B.V. en_US
dc.relation Authors 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.rights License to reuse the abstract has been secured from Springer Nature and Copyright Clearance Center.
dc.rights.holder Copyright : © 2017, Springer International Publishing Switzerland.
dc.rights.license License Number: 5275340725429 License date: Mar 24, 2022
dc.rights.uri https://s100.copyright.com/CustomerAdmin/PLF.jsp?ref=1d02eaa5-40c9-4e93-a69c-4e737f66da3c
dc.subject EGARCH-M en_US
dc.subject Malaysian stock market en_US
dc.subject Shock absorption capacity en_US
dc.subject Volatility persistence en_US
dc.title Volatility Persistence and Shock Absorption Capacity of the Malaysian Stock Market en_US
dc.type Conference Paper en_US
Files
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
2.01 KB
Format:
Item-specific license agreed upon to submission
Description:
Collections