Correlation studies on equity markets using linear regression model - Malaysia, developing and developed markets

The specific objective of this paper is to generate and analyze the average correction coefficient between Malaysian equity market and other selected countries equity markets during 17 year period from January 1987 to December 2003.The study employs Linear Regression Model to determine the correlati...

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Main Authors:	Haron, Razali, Zainal Abidin, Sazali
Format:	Article
Language:	English
Published:	Faculty of Business Management Universiti Teknologi MARA and UPENA 2006
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/10517/ http://irep.iium.edu.my/10517/ http://irep.iium.edu.my/10517/1/Correlation_Studies_on_Equity.pdf

id	iium-10517
recordtype	eprints
spelling	iium-105172011-12-15T07:07:49Z http://irep.iium.edu.my/10517/ Correlation studies on equity markets using linear regression model - Malaysia, developing and developed markets Haron, Razali Zainal Abidin, Sazali HG4501 Stocks, investment, speculation The specific objective of this paper is to generate and analyze the average correction coefficient between Malaysian equity market and other selected countries equity markets during 17 year period from January 1987 to December 2003.The study employs Linear Regression Model to determine the correlation coefficients between Malaysia and other countries. The period of 17 years is further divided into 13 different sub-periods divided by pre, during and post crisis in order to study the differences in pattern of average correlation coefficients during the sub-periods. The study found that average correlations increase during the non-crisis periods as compared to crisis periods. The study also divided the group of countries according to developed countries and emerging countries to analyze the correlation coefficients between Malaysian market and markets of those groups of countries. Malaysian market is found to be more correlated with the emerging market than the developed market. The study also analyses the evolution of correlation of the Malaysian market and other countries over time. From an investment point of view of Malaysian investors, international portfolio diversification still offers diversification benefits due to instability in correlations over time. Faculty of Business Management Universiti Teknologi MARA and UPENA 2006-12 Article PeerReviewed application/pdf en http://irep.iium.edu.my/10517/1/Correlation_Studies_on_Equity.pdf Haron, Razali and Zainal Abidin, Sazali (2006) Correlation studies on equity markets using linear regression model - Malaysia, developing and developed markets. Journal of International Business and Entrepreneurship, 12 (2). pp. 45-63. ISSN 0128-7494 http://rmi.uitm.edu.my/international-business-and-entrepreneurship.html
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Haron, Razali Zainal Abidin, Sazali Correlation studies on equity markets using linear regression model - Malaysia, developing and developed markets
description	The specific objective of this paper is to generate and analyze the average correction coefficient between Malaysian equity market and other selected countries equity markets during 17 year period from January 1987 to December 2003.The study employs Linear Regression Model to determine the correlation coefficients between Malaysia and other countries. The period of 17 years is further divided into 13 different sub-periods divided by pre, during and post crisis in order to study the differences in pattern of average correlation coefficients during the sub-periods. The study found that average correlations increase during the non-crisis periods as compared to crisis periods. The study also divided the group of countries according to developed countries and emerging countries to analyze the correlation coefficients between Malaysian market and markets of those groups of countries. Malaysian market is found to be more correlated with the emerging market than the developed market. The study also analyses the evolution of correlation of the Malaysian market and other countries over time. From an investment point of view of Malaysian investors, international portfolio diversification still offers diversification benefits due to instability in correlations over time.
format	Article
author	Haron, Razali Zainal Abidin, Sazali
author_facet	Haron, Razali Zainal Abidin, Sazali
author_sort	Haron, Razali
title	Correlation studies on equity markets using linear regression model - Malaysia, developing and developed markets
title_short	Correlation studies on equity markets using linear regression model - Malaysia, developing and developed markets
title_full	Correlation studies on equity markets using linear regression model - Malaysia, developing and developed markets
title_fullStr	Correlation studies on equity markets using linear regression model - Malaysia, developing and developed markets
title_full_unstemmed	Correlation studies on equity markets using linear regression model - Malaysia, developing and developed markets
title_sort	correlation studies on equity markets using linear regression model - malaysia, developing and developed markets
publisher	Faculty of Business Management Universiti Teknologi MARA and UPENA
publishDate	2006
url	http://irep.iium.edu.my/10517/ http://irep.iium.edu.my/10517/ http://irep.iium.edu.my/10517/1/Correlation_Studies_on_Equity.pdf
first_indexed	2023-09-18T20:19:55Z
last_indexed	2023-09-18T20:19:55Z
_version_	1777408037588303872

Correlation studies on equity markets using linear regression model - Malaysia, developing and developed markets

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