The effect of GST announcement on stock market volatility: evidence from intraday data

Purpose – The purpose of this paper is to examine the effect of GST announcements (pre and post) on Malaysian stock market index. This study also utilised intraday data to look into intraday market volatility post-GST announcement. Design/methodology/approach – Both daily closing prices and intra...

Full description

Bibliographic Details
Main Authors:	Haron, Razali, Ayojimi, Salami Monsurat
Format:	Article
Language:	English English
Published:	Emerald 2018
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/68819/ http://irep.iium.edu.my/68819/ http://irep.iium.edu.my/68819/7/68819%20The%20effect%20of%20GST%20announcement.pdf http://irep.iium.edu.my/68819/8/68819%20The%20effect%20of%20GST%20announcement%20SCOPUS.pdf

id	iium-68819
recordtype	eprints
spelling	iium-688192019-01-03T07:14:53Z http://irep.iium.edu.my/68819/ The effect of GST announcement on stock market volatility: evidence from intraday data Haron, Razali Ayojimi, Salami Monsurat HG4501 Stocks, investment, speculation Purpose – The purpose of this paper is to examine the effect of GST announcements (pre and post) on Malaysian stock market index. This study also utilised intraday data to look into intraday market volatility post-GST announcement. Design/methodology/approach – Both daily closing prices and intraday data of different frequencies are used to capture the extent of stock market volatility as well as the subsided period of the volatility. The period of study ranges from June 2009 to November 2016 and empirical estimation is based on the GARCH (1, 1) model for the pre- and post-GST announcements. Findings – Persistent market volatility in the post-GST announcement is empirically recorded and the volatility is higher in the post-GST announcement than the pre-GST announcement. This demonstrates the unwillingness and reaction of the market towards the tax policy implementation. Market expectation on GST implementation towards the increase in the cost of living following the increase in the prices of goods and services in Malaysia is empirically supported in the post-GST announcement. Practical implications – The finding on this study is consistent with the expectation of the market that GST implementation will increase the price of the goods and services and hence increase the cost of living. This is supported by a noticeable increase in the stock market volatility in the post-GST announcement. Although GST announcement could be classified as a scheduled announcement, unwillingness to accept the policy prevails as shown by the increase in the stock market volatility. Originality/value – The effects of Asian and global financial crisis are the major focus of past studies on stock market volatility, whereas this study examines and highlights the effect of the GST announcement on stock market volatility and the use of intraday data to further examine the nature of the volatility. Emerald 2018 Article PeerReviewed application/pdf en http://irep.iium.edu.my/68819/7/68819%20The%20effect%20of%20GST%20announcement.pdf application/pdf en http://irep.iium.edu.my/68819/8/68819%20The%20effect%20of%20GST%20announcement%20SCOPUS.pdf Haron, Razali and Ayojimi, Salami Monsurat (2018) The effect of GST announcement on stock market volatility: evidence from intraday data. Journal of Advances in Management Research. pp. 1-17. ISSN 0972-7981 (In Press) https://www.emeraldinsight.com/doi/full/10.1108/JAMR-11-2017-0102
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Haron, Razali Ayojimi, Salami Monsurat The effect of GST announcement on stock market volatility: evidence from intraday data
description	Purpose – The purpose of this paper is to examine the effect of GST announcements (pre and post) on Malaysian stock market index. This study also utilised intraday data to look into intraday market volatility post-GST announcement. Design/methodology/approach – Both daily closing prices and intraday data of different frequencies are used to capture the extent of stock market volatility as well as the subsided period of the volatility. The period of study ranges from June 2009 to November 2016 and empirical estimation is based on the GARCH (1, 1) model for the pre- and post-GST announcements. Findings – Persistent market volatility in the post-GST announcement is empirically recorded and the volatility is higher in the post-GST announcement than the pre-GST announcement. This demonstrates the unwillingness and reaction of the market towards the tax policy implementation. Market expectation on GST implementation towards the increase in the cost of living following the increase in the prices of goods and services in Malaysia is empirically supported in the post-GST announcement. Practical implications – The finding on this study is consistent with the expectation of the market that GST implementation will increase the price of the goods and services and hence increase the cost of living. This is supported by a noticeable increase in the stock market volatility in the post-GST announcement. Although GST announcement could be classified as a scheduled announcement, unwillingness to accept the policy prevails as shown by the increase in the stock market volatility. Originality/value – The effects of Asian and global financial crisis are the major focus of past studies on stock market volatility, whereas this study examines and highlights the effect of the GST announcement on stock market volatility and the use of intraday data to further examine the nature of the volatility.
format	Article
author	Haron, Razali Ayojimi, Salami Monsurat
author_facet	Haron, Razali Ayojimi, Salami Monsurat
author_sort	Haron, Razali
title	The effect of GST announcement on stock market volatility: evidence from intraday data
title_short	The effect of GST announcement on stock market volatility: evidence from intraday data
title_full	The effect of GST announcement on stock market volatility: evidence from intraday data
title_fullStr	The effect of GST announcement on stock market volatility: evidence from intraday data
title_full_unstemmed	The effect of GST announcement on stock market volatility: evidence from intraday data
title_sort	effect of gst announcement on stock market volatility: evidence from intraday data
publisher	Emerald
publishDate	2018
url	http://irep.iium.edu.my/68819/ http://irep.iium.edu.my/68819/ http://irep.iium.edu.my/68819/7/68819%20The%20effect%20of%20GST%20announcement.pdf http://irep.iium.edu.my/68819/8/68819%20The%20effect%20of%20GST%20announcement%20SCOPUS.pdf
first_indexed	2023-09-18T21:37:39Z
last_indexed	2023-09-18T21:37:39Z
_version_	1777412928178225152

The effect of GST announcement on stock market volatility: evidence from intraday data

Similar Items