The Impact Of Macroeconomic Volatility On Bursa Malaysia Volatility

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dc.contributor.authorYeap, Geok Peng
dc.date.accessioned2016-11-24T01:17:35Z
dc.date.available2016-11-24T01:17:35Z
dc.date.issued2009
dc.description.abstractThis study is undertaken with the objective to examine the behavior of Bursa Malaysia volatility with respect to macroeconomic volatility for time series data cover period from January 1990 to December 2008. The macroeconomic variables used include industrial production, money supply, interest rate, exchange rate, inflation rate and oil price. The analyses were divided into four sub-periods to include pre-crisis, crisis I (flexible exchange rate), crisis II (fixed exchange rate), and post crisis. The approach adopted by this study to examine the impact of macroeconomic volatility on KLCI volatility is ICAPM with GARCH properties to estimate the KLCI return. The empirical findings indicated that the Bursa Malaysia volatility was affected by macroeconomic volatility_ The volatility of money supply significantly influenced the Bursa Malaysia volatility before crisis and after crisis while interest rate volatility significantly influenced Bursa Malaysia volatility before crisis and during fixed exchange rate period.en_US
dc.identifier.urihttp://hdl.handle.net/123456789/3173
dc.subjectThe behavior of Bursa Malaysia volatility with respect to macroeconomic volatilityen_US
dc.subjectfor time series data cover period from January 1990 to December 2008.en_US
dc.titleThe Impact Of Macroeconomic Volatility On Bursa Malaysia Volatilityen_US
dc.typeThesisen_US
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