TY - JOUR
T1 - Capital Market Volatility MGARCH Analysis
T2 - Evidence from Southeast Asia
AU - Rusmita, Sylva Alif
AU - Rani, Lina Nugraha
AU - Swastika, Putri
AU - Zulaikha, Siti
N1 - Publisher Copyright:
© Copyright: The Author(s) This is an Open Access article distributed under the terms of the Creative Commons Attribution Non-Commercial License (https://creativecommons.org/licenses/by-nc/4.0/) which permits unrestricted non-commercial use, distribution, and reproduction in any medium, provided the
PY - 2020
Y1 - 2020
N2 - This paper is aimed to explore the co-movement capital market in Southeast Asia and analysis the correlation of conventional and Islamic Index in the regional and global equity. This research become necessary to represent the risk on the capital market and measure market performance, as investor considers the volatility before investing. The time series daily data use from April 2012 to April 2020 both conventional and Islamic stock index in Malaysia and Indonesia. This paper examines the dynamics of conditional volatilities and correlations between those markets by using Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH). Our result shows that conventional or composite index in Malaysia less volatile than Islamic, but on the other hand, both drive correlation movement. The other output captures that Islamic Index in Indonesian capital market more gradual volatilities than the Composite Index that tends to be low in risk so that investors intend to keep the shares. Generally, the result shows a correlation in each country for conventional and the Islamic index. However, Internationally Indonesia and Malaysia composite and Islamic is low correlated. Regionally Indonesia’s indices movement looks to be more correlated and it’s similar to Malaysian Capital Market counterparts. In the global market distress condition, the diversification portfolio between Indonesia and Malaysia does not give many benefits.
AB - This paper is aimed to explore the co-movement capital market in Southeast Asia and analysis the correlation of conventional and Islamic Index in the regional and global equity. This research become necessary to represent the risk on the capital market and measure market performance, as investor considers the volatility before investing. The time series daily data use from April 2012 to April 2020 both conventional and Islamic stock index in Malaysia and Indonesia. This paper examines the dynamics of conditional volatilities and correlations between those markets by using Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH). Our result shows that conventional or composite index in Malaysia less volatile than Islamic, but on the other hand, both drive correlation movement. The other output captures that Islamic Index in Indonesian capital market more gradual volatilities than the Composite Index that tends to be low in risk so that investors intend to keep the shares. Generally, the result shows a correlation in each country for conventional and the Islamic index. However, Internationally Indonesia and Malaysia composite and Islamic is low correlated. Regionally Indonesia’s indices movement looks to be more correlated and it’s similar to Malaysian Capital Market counterparts. In the global market distress condition, the diversification portfolio between Indonesia and Malaysia does not give many benefits.
KW - Financial Times Stock Exchange
KW - Hijra Index
KW - Jakarta Composite Index
KW - Jakarta Islamic Index
KW - Volatility Index
UR - http://www.scopus.com/inward/record.url?scp=85103322823&partnerID=8YFLogxK
U2 - 10.13106/jafeb.2020.vol7.no11.117
DO - 10.13106/jafeb.2020.vol7.no11.117
M3 - Article
AN - SCOPUS:85103322823
SN - 2288-4637
VL - 7
SP - 117
EP - 126
JO - Journal of Asian Finance, Economics and Business
JF - Journal of Asian Finance, Economics and Business
IS - 11
ER -