Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7341806 | Borsa Istanbul Review | 2017 | 13 Pages |
Abstract
Without an efficient financial risk management, it may cause massive consequences to a financial institution as well as individual. Therefore, developing a methodology which gives precise estimates to reduce the exposure of risk to a minimum is of great importance. This paper uses an asymmetric BEKK-GARCH model to examine the return and volatility linkages between the FTSE Bursa Malaysia Emas Shariah (FBMS) index and the sectoral indices under a normal market. The findings suggest that the FBMS plays a leading role in the mean return spillover effect. There is a strong evidence of significant transmission of past shocks, volatilities and leverage effects are observed on the current conditional variance-covariance in all the pair-wise models. These empirical results are helpful in quantifying the cross-market risk evaluation, risk minimizing weight and cross-market hedge ratio for strategizing appropriate portfolio selection.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Sew Lai Ng, Wen Cheong Chin, Lee Lee Chong,