Stability in ASEAN+3 exchange markets: An EGARCH-M approach

Stability in ASEAN+3 exchange markets: An EGARCH-M approach

This paper empirically investigates the advancement of exchange markets’ stability and comovement after the ASEAN+3 financial cooperation agreement. The study employs EGARCH-in-mean approach and uses daily exchange rates. The findings indicate that: 1) the exchange market volatility is resulted from...

Full description

Bibliographic Details
Main Authors: Rahman, Md. Saifur, Shahari, Farihana
Format: Article
Language:English
Published: World Scientific and Engineering Academy and Society (WSEAS) 2015
Subjects:
HG3810 Foreign exchange
Online Access:http://irep.iium.edu.my/52785/
http://irep.iium.edu.my/52785/
http://irep.iium.edu.my/52785/1/Stability%20in%20ASEAN%2B3%20exchange%20markets-%20An%20EGARCH-M%20approach.pdf
id iium-52785
recordtype eprints
spelling iium-527852016-12-01T13:35:15Z http://irep.iium.edu.my/52785/ Stability in ASEAN+3 exchange markets: An EGARCH-M approach Rahman, Md. Saifur Shahari, Farihana HG3810 Foreign exchange This paper empirically investigates the advancement of exchange markets’ stability and comovement after the ASEAN+3 financial cooperation agreement. The study employs EGARCH-in-mean approach and uses daily exchange rates. The findings indicate that: 1) the exchange market volatility is resulted from regional markets’ shocks during both of pre and post-agreement periods, 2) the ASEAN+3 exchange markets progressed substantial development during post-agreement, 3) both of high and low income economies are improving the exchange market stability in a cooperative way regardless of income level, and 4) the overall impact of ASEAN+3 financial cooperation leads to stabilize the regional exchange markets. World Scientific and Engineering Academy and Society (WSEAS) 2015 Article PeerReviewed application/pdf en http://irep.iium.edu.my/52785/1/Stability%20in%20ASEAN%2B3%20exchange%20markets-%20An%20EGARCH-M%20approach.pdf Rahman, Md. Saifur and Shahari, Farihana (2015) Stability in ASEAN+3 exchange markets: An EGARCH-M approach. WSEAS Transactions on Business and Economics, 12. pp. 426-431. ISSN 1109-9526 E-ISSN 2224-2899 http://www.wseas.org/multimedia/journals/economics/2015/a825707-337.pdf
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HG3810 Foreign exchange
spellingShingle HG3810 Foreign exchange
Rahman, Md. Saifur
Shahari, Farihana
Stability in ASEAN+3 exchange markets: An EGARCH-M approach
description This paper empirically investigates the advancement of exchange markets’ stability and comovement after the ASEAN+3 financial cooperation agreement. The study employs EGARCH-in-mean approach and uses daily exchange rates. The findings indicate that: 1) the exchange market volatility is resulted from regional markets’ shocks during both of pre and post-agreement periods, 2) the ASEAN+3 exchange markets progressed substantial development during post-agreement, 3) both of high and low income economies are improving the exchange market stability in a cooperative way regardless of income level, and 4) the overall impact of ASEAN+3 financial cooperation leads to stabilize the regional exchange markets.
format Article
author Rahman, Md. Saifur
Shahari, Farihana
author_facet Rahman, Md. Saifur
Shahari, Farihana
author_sort Rahman, Md. Saifur
title Stability in ASEAN+3 exchange markets: An EGARCH-M approach
title_short Stability in ASEAN+3 exchange markets: An EGARCH-M approach
title_full Stability in ASEAN+3 exchange markets: An EGARCH-M approach
title_fullStr Stability in ASEAN+3 exchange markets: An EGARCH-M approach
title_full_unstemmed Stability in ASEAN+3 exchange markets: An EGARCH-M approach
title_sort stability in asean+3 exchange markets: an egarch-m approach
publisher World Scientific and Engineering Academy and Society (WSEAS)
publishDate 2015
url http://irep.iium.edu.my/52785/
http://irep.iium.edu.my/52785/
http://irep.iium.edu.my/52785/1/Stability%20in%20ASEAN%2B3%20exchange%20markets-%20An%20EGARCH-M%20approach.pdf
first_indexed 2023-09-18T21:14:46Z
last_indexed 2023-09-18T21:14:46Z
_version_ 1777411489017102336

Similar Items