Volatility component of derivative market: evidence from FBMKLCI based on CGARCH

This study examines the volatility component of Malaysian stock index. Despite extensive studies on stock index volatility, there are relatively few studies examining the volatility component of stock index in Malaysia. Using data from January 1, 2009 to December 31, 2013, this study aims to examine...

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Main Authors:	Haron, Razali, Ayojimi, Salami Monsurat
Format:	Conference or Workshop Item
Language:	English
Published:	2015
Subjects:	HG4001 Financial management. Business finance. Corporation finance.
Online Access:	http://irep.iium.edu.my/46024/ http://irep.iium.edu.my/46024/ http://irep.iium.edu.my/46024/1/46024.pdf

id	iium-46024
recordtype	eprints
spelling	iium-460242018-03-06T06:07:35Z http://irep.iium.edu.my/46024/ Volatility component of derivative market: evidence from FBMKLCI based on CGARCH Haron, Razali Ayojimi, Salami Monsurat HG4001 Financial management. Business finance. Corporation finance. This study examines the volatility component of Malaysian stock index. Despite extensive studies on stock index volatility, there are relatively few studies examining the volatility component of stock index in Malaysia. Using data from January 1, 2009 to December 31, 2013, this study aims to examine the volatility component of Malaysian stock index post financial crisis period, specifically on the mean-reversion, short-run (transitory) volatility, long-run (permanent) and speed of adjustment based on the generalized autoregressive conditional heteroskedasticity (GARCH). The finding reveals that both the KLCI and KLCI-Futures have persistence permanent volatility component, but transitory volatility components, on the other hand varies between the two markets. This study later confirms a faster mean-reversion in the KLCI-Futures comparative to KLCI. Nevertheless, the KLCI mean return remains positive during post crisis periods comparative to the futures market. 2015-11-25 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/46024/1/46024.pdf Haron, Razali and Ayojimi, Salami Monsurat (2015) Volatility component of derivative market: evidence from FBMKLCI based on CGARCH. In: International Conference on Global Business & Social Entrepreneurship (ICoGBSE2015), 25th-26th Nov. 2015, Geopark Hotel, Langkawi, Kedah. http://submit.confbay.com/conf/icogbse2015
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HG4001 Financial management. Business finance. Corporation finance.
spellingShingle	HG4001 Financial management. Business finance. Corporation finance. Haron, Razali Ayojimi, Salami Monsurat Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
description	This study examines the volatility component of Malaysian stock index. Despite extensive studies on stock index volatility, there are relatively few studies examining the volatility component of stock index in Malaysia. Using data from January 1, 2009 to December 31, 2013, this study aims to examine the volatility component of Malaysian stock index post financial crisis period, specifically on the mean-reversion, short-run (transitory) volatility, long-run (permanent) and speed of adjustment based on the generalized autoregressive conditional heteroskedasticity (GARCH). The finding reveals that both the KLCI and KLCI-Futures have persistence permanent volatility component, but transitory volatility components, on the other hand varies between the two markets. This study later confirms a faster mean-reversion in the KLCI-Futures comparative to KLCI. Nevertheless, the KLCI mean return remains positive during post crisis periods comparative to the futures market.
format	Conference or Workshop Item
author	Haron, Razali Ayojimi, Salami Monsurat
author_facet	Haron, Razali Ayojimi, Salami Monsurat
author_sort	Haron, Razali
title	Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
title_short	Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
title_full	Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
title_fullStr	Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
title_full_unstemmed	Volatility component of derivative market: evidence from FBMKLCI based on CGARCH
title_sort	volatility component of derivative market: evidence from fbmklci based on cgarch
publishDate	2015
url	http://irep.iium.edu.my/46024/ http://irep.iium.edu.my/46024/ http://irep.iium.edu.my/46024/1/46024.pdf
first_indexed	2023-09-18T21:05:30Z
last_indexed	2023-09-18T21:05:30Z
_version_	1777410905239191552

Volatility component of derivative market: evidence from FBMKLCI based on CGARCH

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