A Study Of Relationship Between Commodity Price And Stock Price Using Ms-Var And Ms-Vecm Models
| dc.contributor.author | SEUK WAI, PHOONG | |
| dc.date.accessioned | 2016-06-24T01:38:33Z | |
| dc.date.available | 2016-06-24T01:38:33Z | |
| dc.date.issued | 2015-06 | |
| dc.description.abstract | Financial and economic time series always show nonlinear properties such as asymmetry and regime switching. Structural change as well as break is often reported in the series. The 1997 Asian Financial Crisis and the 2007/2008 Global Financial Crisis are the examples of the presence of the regime shifts in the financial series. Thus, linear models are no longer suitably used to estimate the series. Stationary, breakpoint and Johansen cointegration tests are used to examine the properties of the series. The analyses in this study are divided into two parts. The first part examines the relationship between oil and four selected ASEAN stock returns, namely KLCI, STI, SETI and JCI by using the MS-VAR model. Several specifications including mean adjusted after regime shift, intercept adjusted after regime shift, regime dependence autoregressive parameter and regime dependence heteroskedasticity of the MS-VAR model are used in the present studies to capture the transition probabilities from one regime to another. From the model selection criteria tests, the MSIH-VAR model is able to detect the transition probability better than other specification of the MS-VAR model. The second part examines the relationship between the gold and the four selected ASEAN stock returns by using the several specifications of the MS-VECM model. The results indicated that the MSIH-VECM model results in a major change in regime classification. The purpose of use the MS-VAR and MS-VECM models in estimating the time series is the Markov switching models able to estimate the changes of the regime. Furthermore, the MS-VECM model is able to estimate the shifts in regimes of cointegrated time series and able to investigate the effects of the equilibrium correction mechanism to the measurement xviiof the business cycle. The estimated model revealed that oil return has a negative relationship with the stock returns by using the MS-VAR model. Additionally, gold and stock returns also reported has a negative relationship when considers the equilibrium correction mechanism in the analysis. | en_US |
| dc.identifier.uri | http://hdl.handle.net/123456789/2177 | |
| dc.subject | A Study Of Relationship Between Commodity Price And Stock Price | en_US |
| dc.subject | Using Ms-Var And Ms-Vecm Models | en_US |
| dc.title | A Study Of Relationship Between Commodity Price And Stock Price Using Ms-Var And Ms-Vecm Models | en_US |
| dc.type | Thesis | en_US |
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