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https://ptsldigital.ukm.my/jspui/handle/123456789/485855Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | Abu Hassan Shaari Md Nor, Prof. Dr. | |
| dc.contributor.author | Nikmanesh Lida (P61234) | |
| dc.date.accessioned | 2023-10-10T09:06:34Z | - |
| dc.date.available | 2023-10-10T09:06:34Z | - |
| dc.date.issued | 2015-04 | |
| dc.identifier.other | ukmvital:83987 | |
| dc.identifier.uri | https://ptsldigital.ukm.my/jspui/handle/123456789/485855 | - |
| dc.description | Stock market volatility is recognized in existing literatures as one of the major factors that affect economic growth in both developed and developing economies. Determining the factors that affect stock market volatility is crucial because the information could be used by policy makers among others to reduce the risks associated with investment and thereby contributes to portfolio adjustment. Additionally, determinants of stock market volatility can provide beneficial information for policy makers seeking to reduce the negative effects of stock market volatility on economic growth and performance. Extant literature generally examines the leading factors of stock returns (first moment). Although some studies attempt to link stock return volatility (second moment) and its determinant factors, little attention has been devoted to investigating the causal relationship between stock market volatility and macroeconomic volatility. The causal analysis is important to determine the channel and direction of the dynamic relationship between variables. Therefore, the present study intends to determine the macroeconomic sources of stock market volatility in ASEAN-5 countries (i.e., Indonesia, Malaysia, the Philippines, Singapore and Thailand). The methodology follows three steps. Firstly, the well-known GARCH family models are employed, utilizing monthly data on stock indices and macroeconomic variables in order to estimate the conditional volatility of stock market and macroeconomic variables in ASEAN-5 countries. In order to improve the volatility estimation, the structural breaks in variances are determined and their effects are incorporated in the GARCH models. The results confirm the existence of structural break in the variance of industrial production index corresponding the Asian financial crisis; and in interest rate corresponding the reduction in federal fund rate in March 2001 for Thailand. Furthermore, as part of the contribution of the present study, a new measurement of trade openness is used. It is concluded that the new measurement of trade openness represents the degree of openness more accurately than the traditional measurement. In the second step, the causality between series of stock market volatilities and macroeconomic variables are examined using two methods: the Toda and Yamamoto (TY) causality test; and the cross-correlation function (CCF) approach. The results of causality imply that the CCF method provide additional significant information on the TY causality test. Moreover, the results of Brock-Dechert-Scheinkman (BDS) test support the application of a non-linear causality method. The general results of the causality analysis indicate that the macroeconomic causes of stock market volatility in ASEAN-5 are country specific. Finally, Seemingly Unrelated Regression (SUR) and Panel regression are utilized to determine the significant sources of stock market volatility in ASEAN-5 countries. The SUR method is proved to perform better than the panel regression. Trade openness exerts significant effect on the stock market volatility in 4 out of 5 countries. Generally, the predictive power of macroeconomic volatility and trade openness to explain the stock market volatility in ASEAN-5 ranges from 0.37 to 0.87. Hence, in order to have a positive stock market development, policy makers not only need to monitor the movement of macro variables in their level but also the volatility or risk.,Ph.D | |
| dc.language.iso | eng | |
| dc.publisher | UKM, Bangi | |
| dc.relation | Faculty of Economy and Management / Fakulti Ekonomi dan Pengurusan | |
| dc.rights | UKM | |
| dc.subject | Stock market volatility | |
| dc.subject | Stock exchanges | |
| dc.title | Macroeconomic sources of stock market volatility in ASEAN-5 | |
| dc.type | Theses | |
| dc.format.pages | 254 | |
| dc.identifier.callno | HG4551.N535 2015 | |
| Appears in Collections: | Faculty of Economy and Management / Fakulti Ekonomi dan Pengurusan | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| ukmvital_83987+SOURCE1+SOURCE1.1.PDF Restricted Access | 598.83 kB | Adobe PDF |  View/Open |
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