Multivariate market risk evaluation between Malaysian Islamic stock index and sectoral indices
| Autor: | Sew Lai Ng, Wen Cheong Chin, Lee Lee Chong |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: | |
| Zdroj: | Borsa Istanbul Review, Vol 17, Iss 1, Pp 49-61 (2017) |
| Druh dokumentu: | article |
| ISSN: | 2214-8450 08433925 |
| DOI: | 10.1016/j.bir.2016.09.002 |
| Popis: | Without an efficient financial risk management, it may cause massive consequences to a financial institution as well as individual. Therefore, developing a methodology which gives precise estimates to reduce the exposure of risk to a minimum is of great importance. This paper uses an asymmetric BEKK-GARCH model to examine the return and volatility linkages between the FTSE Bursa Malaysia Emas Shariah (FBMS) index and the sectoral indices under a normal market. The findings suggest that the FBMS plays a leading role in the mean return spillover effect. There is a strong evidence of significant transmission of past shocks, volatilities and leverage effects are observed on the current conditional variance-covariance in all the pair-wise models. These empirical results are helpful in quantifying the cross-market risk evaluation, risk minimizing weight and cross-market hedge ratio for strategizing appropriate portfolio selection. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
|