- This research aims to investigate volatility transmitted from the world market to ten Asian and Eastern European stock markets and from major stock market in the region to the rest of stock markets by considering their degree of integrations. To assess this, we apply GARCH(p,q) model and involve dynamic conditional correlation (DCC) model to generate the dynamic degree of integration. The monthly market indices data over the period from May 2002 to March 2018 are taken from 11 markets--5 Asian ones (China, Indonesia, Malaysia, Pakistan, and the Philippines), 5 Eastern European (Czech Republic, Poland, Romania, Russia, and Ukraine), and the world market data. Furthermore, the volatility spillover was analysed during the global financial crisis period, from May 1, 2008 to May 29, 2009. The findings show that volatility spillovers from the world and the major regional markets to domestic stock markets are conditional on the degree of integrations. Specifically, there is no volatility spillover from the world and regional major markets on segmented stock markets. In contrast, domestic stock markets which are integrated could experience the volatility spillover. Moreover, this confirms for both crisis circumstances and the overall period.
- Journal of International Studies
ABSTRACT
This study was conducted in order to analyse the two-way relationship between the Islamic stock market and sukuk market development, and economic growth. this study also analyses whether trade openness influences the development of the Islamic stock market and sukuk market, and economic growth. VAR (Vector Auto Regressive), VECM (Vector Error Correction Model), and a Granger Causality Test used to test the hypothesis. Using Indonesia and Malaysia as the sample countries and from February 2008 to December 2017 period, the results showed that there is a bi-directional causality between the development of the Islamic stock market and the development of the sukuk market in Indonesia and Malaysia. There is a bi-directional causality between the development of the Islamic stock market and sukuk market with economic growth in Indonesia. Unidirectional causality is found between economic growth and the sukuk market development in Malaysia. And no causality (neutrality) is reported between the development of the Islamic stock market and economic growth in Malaysia. Meanwhile, trade openness has a significant and positive effect on the sukuk market development as well as economic growth in Malaysia. For the limitations, this research only focused on two countries and only delved into the corporation sukuk market.
- April 2019
- Verslas teorija ir praktika 20(2):196-207
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Abstract
This study investigates Asian stock market integration during the period of 1999 to 2018. The analysis technique used was Orthogonal Generalized Autoregressive Conditional Heteroscedasticity (OGARCH). OGARCH is a combination of GARCH and Principal Component Analysis (PCA) methods. The benefit of employing OGARCH in a stock market integration study is that it could estimate the degree of stock market integration precisely and how many components are related to it. In order to deepen the analysis, this study also does an analysis based on pre, during and post the GFC. The result shows that not all stock markets studied were integrated. Singapore, Hong Kong, Japan, Taiwan, Thailand, and South Korea stock markets tended to integrate, while the ones in Indonesia, Philippine, and Malaysia did not. This shows that stock markets in Asia were not fully integrated. Stock market integration during the Global Financial Crisis (GFC) period is higher than the pre-GFC period and post-GFC period. Investment managers who have the ability to form international portfolios can diversify existing stocks in Indonesia, Malaysia, and the Philippines even Japan by considering country risk because their stock markets tend to be segmented. Investment managers also need to conduct special studies before investing in Asian stock markets that have proven to be integrated.
Montenegrin Journal of Economics
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Harjum Muharam
Wisnu Mawardi
Erman Denny Arfinto
Najmudin Najmudin
Robiyanto Robiyanto