Stability in ASEAN+3 exchange markets: An EGARCH-M approach
This paper empirically investigates the advancement of exchange markets’ stability and comovement after the ASEAN+3 financial cooperation agreement. The study employs EGARCH-in-mean approach and uses daily exchange rates. The findings indicate that: 1) the exchange market volatility is resulted from...
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| Format: | Article |
| Language: | English |
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World Scientific and Engineering Academy and Society (WSEAS)
2015
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| Online Access: | http://irep.iium.edu.my/52785/ http://irep.iium.edu.my/52785/1/Stability%20in%20ASEAN%2B3%20exchange%20markets-%20An%20EGARCH-M%20approach.pdf |
| _version_ | 1848784122640596992 |
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| author | Rahman, Md. Saifur Shahari, Farihana |
| author_facet | Rahman, Md. Saifur Shahari, Farihana |
| author_sort | Rahman, Md. Saifur |
| building | IIUM Repository |
| collection | Online Access |
| description | This paper empirically investigates the advancement of exchange markets’ stability and comovement after the ASEAN+3 financial cooperation agreement. The study employs EGARCH-in-mean approach and uses daily exchange rates. The findings indicate that: 1) the exchange market volatility is resulted from regional markets’ shocks during both of pre and post-agreement periods, 2) the ASEAN+3 exchange markets progressed substantial development during post-agreement, 3) both of high and low income economies are improving the exchange market stability in a cooperative way regardless of income level, and 4) the overall impact of ASEAN+3 financial cooperation leads to stabilize the regional exchange markets. |
| first_indexed | 2025-11-14T16:32:14Z |
| format | Article |
| id | iium-52785 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T16:32:14Z |
| publishDate | 2015 |
| publisher | World Scientific and Engineering Academy and Society (WSEAS) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-527852016-12-01T13:35:15Z http://irep.iium.edu.my/52785/ Stability in ASEAN+3 exchange markets: An EGARCH-M approach Rahman, Md. Saifur Shahari, Farihana HG3810 Foreign exchange This paper empirically investigates the advancement of exchange markets’ stability and comovement after the ASEAN+3 financial cooperation agreement. The study employs EGARCH-in-mean approach and uses daily exchange rates. The findings indicate that: 1) the exchange market volatility is resulted from regional markets’ shocks during both of pre and post-agreement periods, 2) the ASEAN+3 exchange markets progressed substantial development during post-agreement, 3) both of high and low income economies are improving the exchange market stability in a cooperative way regardless of income level, and 4) the overall impact of ASEAN+3 financial cooperation leads to stabilize the regional exchange markets. World Scientific and Engineering Academy and Society (WSEAS) 2015 Article PeerReviewed application/pdf en http://irep.iium.edu.my/52785/1/Stability%20in%20ASEAN%2B3%20exchange%20markets-%20An%20EGARCH-M%20approach.pdf Rahman, Md. Saifur and Shahari, Farihana (2015) Stability in ASEAN+3 exchange markets: An EGARCH-M approach. WSEAS Transactions on Business and Economics, 12. pp. 426-431. ISSN 1109-9526 E-ISSN 2224-2899 http://www.wseas.org/multimedia/journals/economics/2015/a825707-337.pdf |
| spellingShingle | HG3810 Foreign exchange Rahman, Md. Saifur Shahari, Farihana Stability in ASEAN+3 exchange markets: An EGARCH-M approach |
| title | Stability in ASEAN+3 exchange markets: An EGARCH-M approach |
| title_full | Stability in ASEAN+3 exchange markets: An EGARCH-M approach |
| title_fullStr | Stability in ASEAN+3 exchange markets: An EGARCH-M approach |
| title_full_unstemmed | Stability in ASEAN+3 exchange markets: An EGARCH-M approach |
| title_short | Stability in ASEAN+3 exchange markets: An EGARCH-M approach |
| title_sort | stability in asean+3 exchange markets: an egarch-m approach |
| topic | HG3810 Foreign exchange |
| url | http://irep.iium.edu.my/52785/ http://irep.iium.edu.my/52785/ http://irep.iium.edu.my/52785/1/Stability%20in%20ASEAN%2B3%20exchange%20markets-%20An%20EGARCH-M%20approach.pdf |