An Econometric Analysis on the Co-Movement of Stock Market Volatility between China and ASEAN-5
This study aims to examine the co-movement of stock market volatility between China and ASEAN-5 countries from the year 2000 to 2009. This study applies the standard linear GARCH (1, 1) model where these models estimate using monthly price data from year 2000 to 2009 for China, Malaysia, Singapore,...
| Main Authors: | , , , |
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| Format: | Journal Article |
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Centre for Promoting Ideas
2013
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| Online Access: | http://ijbssnet.com/journals/Vol_4_No_14_November_2013/25.pdf http://hdl.handle.net/20.500.11937/20456 |
| _version_ | 1848750309634998272 |
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| author | Jakpar, S. Vejayon, V. Johari, Anita Myint, Khin |
| author_facet | Jakpar, S. Vejayon, V. Johari, Anita Myint, Khin |
| author_sort | Jakpar, S. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This study aims to examine the co-movement of stock market volatility between China and ASEAN-5 countries from the year 2000 to 2009. This study applies the standard linear GARCH (1, 1) model where these models estimate using monthly price data from year 2000 to 2009 for China, Malaysia, Singapore, Thailand, Indonesia and Philippines. The standard time series econometrics analysis is used which are ADF unit root test, JJ co-integration test, and Granger causality test. The results indicate the co movement of stock market volatility between China and ASEAN-5 have fairly relation among them. The result shows there are two way relations which are bidirectional causality between china and Indonesia; China and Thailand; and China and Singapore. Meanwhile, there have no causality relation between China and Malaysia; and also China and Philippines. Though, it can be concluded that there are relationship between regions in the stock market volatility. |
| first_indexed | 2025-11-14T07:34:47Z |
| format | Journal Article |
| id | curtin-20.500.11937-20456 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:34:47Z |
| publishDate | 2013 |
| publisher | Centre for Promoting Ideas |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-204562017-01-30T12:19:24Z An Econometric Analysis on the Co-Movement of Stock Market Volatility between China and ASEAN-5 Jakpar, S. Vejayon, V. Johari, Anita Myint, Khin This study aims to examine the co-movement of stock market volatility between China and ASEAN-5 countries from the year 2000 to 2009. This study applies the standard linear GARCH (1, 1) model where these models estimate using monthly price data from year 2000 to 2009 for China, Malaysia, Singapore, Thailand, Indonesia and Philippines. The standard time series econometrics analysis is used which are ADF unit root test, JJ co-integration test, and Granger causality test. The results indicate the co movement of stock market volatility between China and ASEAN-5 have fairly relation among them. The result shows there are two way relations which are bidirectional causality between china and Indonesia; China and Thailand; and China and Singapore. Meanwhile, there have no causality relation between China and Malaysia; and also China and Philippines. Though, it can be concluded that there are relationship between regions in the stock market volatility. 2013 Journal Article http://hdl.handle.net/20.500.11937/20456 http://ijbssnet.com/journals/Vol_4_No_14_November_2013/25.pdf Centre for Promoting Ideas fulltext |
| spellingShingle | Jakpar, S. Vejayon, V. Johari, Anita Myint, Khin An Econometric Analysis on the Co-Movement of Stock Market Volatility between China and ASEAN-5 |
| title | An Econometric Analysis on the Co-Movement of Stock Market Volatility between China and ASEAN-5 |
| title_full | An Econometric Analysis on the Co-Movement of Stock Market Volatility between China and ASEAN-5 |
| title_fullStr | An Econometric Analysis on the Co-Movement of Stock Market Volatility between China and ASEAN-5 |
| title_full_unstemmed | An Econometric Analysis on the Co-Movement of Stock Market Volatility between China and ASEAN-5 |
| title_short | An Econometric Analysis on the Co-Movement of Stock Market Volatility between China and ASEAN-5 |
| title_sort | econometric analysis on the co-movement of stock market volatility between china and asean-5 |
| url | http://ijbssnet.com/journals/Vol_4_No_14_November_2013/25.pdf http://hdl.handle.net/20.500.11937/20456 |