Return and volatility spillovers between the US, Japanese and Malaysian stock markets
The present study investigates the return and volatility spillover between the stock markets of the US, Japan and Malaysia using weekly data concerning the S&P 500, NIKKEI 225 and KLCI composite indices from January 1990 to May 2013. Employing a cross-correlation function method, the results sho...
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Penerbit Universiti Kebangsaan Malaysia
2014
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| Online Access: | http://journalarticle.ukm.my/8373/ http://journalarticle.ukm.my/8373/ http://journalarticle.ukm.my/8373/1/7770-20204-1-SM.pdf |
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ukm-83732016-12-14T06:47:04Z http://journalarticle.ukm.my/8373/ Return and volatility spillovers between the US, Japanese and Malaysian stock markets Lida Nikmanesh, Abu Hassan Shaari Mohd Nor, Tamat Sarmidi, Hawati Janor, The present study investigates the return and volatility spillover between the stock markets of the US, Japan and Malaysia using weekly data concerning the S&P 500, NIKKEI 225 and KLCI composite indices from January 1990 to May 2013. Employing a cross-correlation function method, the results show that a unidirectional causality-in-mean exists from the stock markets of the US and Japan to the Malaysian stock market. Malaysian stock returns immediately react to the shocks received from the stock markets of the US and Japan and the reaction continues for 12 weeks. The causality-in-variance test shows that the volatility of the Malaysian stock market is more affected by the US stock market than the Japanese stock market. Similarly, the variance-causality test shows that the speed of variance spillover from the US stock market to the Malaysian stock market is high; and is significant from the first week. The results from the present study are relevant for fund managers and investors when making investment decisions that involve the consideration of risk and return elements; for policy makers to monitor the financial market stability; and for hedgers to forecast risk and develop hedging strategies. Penerbit Universiti Kebangsaan Malaysia 2014 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/8373/1/7770-20204-1-SM.pdf Lida Nikmanesh, and Abu Hassan Shaari Mohd Nor, and Tamat Sarmidi, and Hawati Janor, (2014) Return and volatility spillovers between the US, Japanese and Malaysian stock markets. Jurnal Pengurusan, 41 . pp. 101-111. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/index |
| repository_type |
Digital Repository |
| institution_category |
Local University |
| institution |
Universiti Kebangasaan Malaysia |
| building |
UKM Institutional Repository |
| collection |
Online Access |
| language |
English |
| description |
The present study investigates the return and volatility spillover between the stock markets of the US, Japan and Malaysia using weekly data concerning the S&P 500, NIKKEI 225 and KLCI composite indices from January 1990 to May 2013. Employing a cross-correlation function method, the results show that a unidirectional causality-in-mean exists from the stock markets of the US and Japan to the Malaysian stock market. Malaysian stock returns immediately react to the shocks received from the stock markets of the US and Japan and the reaction continues for 12 weeks. The causality-in-variance test shows that the volatility of the Malaysian stock market is more affected by the US stock market than the Japanese stock market. Similarly, the variance-causality test shows that the speed of variance spillover from the US stock market to the Malaysian stock market is high; and is significant from the first week. The results from the present study are relevant for fund managers and investors when making investment decisions that involve the consideration of risk and return elements; for policy makers to monitor the financial market stability; and for hedgers to forecast risk and develop hedging strategies. |
| format |
Article |
| author |
Lida Nikmanesh, Abu Hassan Shaari Mohd Nor, Tamat Sarmidi, Hawati Janor, |
| spellingShingle |
Lida Nikmanesh, Abu Hassan Shaari Mohd Nor, Tamat Sarmidi, Hawati Janor, Return and volatility spillovers between the US, Japanese and Malaysian stock markets |
| author_facet |
Lida Nikmanesh, Abu Hassan Shaari Mohd Nor, Tamat Sarmidi, Hawati Janor, |
| author_sort |
Lida Nikmanesh, |
| title |
Return and volatility spillovers between the US, Japanese and Malaysian stock markets |
| title_short |
Return and volatility spillovers between the US, Japanese and Malaysian stock markets |
| title_full |
Return and volatility spillovers between the US, Japanese and Malaysian stock markets |
| title_fullStr |
Return and volatility spillovers between the US, Japanese and Malaysian stock markets |
| title_full_unstemmed |
Return and volatility spillovers between the US, Japanese and Malaysian stock markets |
| title_sort |
return and volatility spillovers between the us, japanese and malaysian stock markets |
| publisher |
Penerbit Universiti Kebangsaan Malaysia |
| publishDate |
2014 |
| url |
http://journalarticle.ukm.my/8373/ http://journalarticle.ukm.my/8373/ http://journalarticle.ukm.my/8373/1/7770-20204-1-SM.pdf |
| first_indexed |
2023-09-18T19:52:14Z |
| last_indexed |
2023-09-18T19:52:14Z |
| _version_ |
1777406296276860928 |