Dynamic co-movement and spillover between the stock market and the foreign exchange market in ASEAN-5
The trade openness and lower barrier for the capital flows have increased the interdependence between the stock market and the foreign exchange market. This study examines the co-movement between the markets in ASEAN-5 member countries (Malaysia, the Philippines, Indonesia, Singapore, and Thailand)...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2022
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| Online Access: | https://eprints.nottingham.ac.uk/66581/ |
| _version_ | 1848800339711492096 |
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| author | Te, Kai Shuan |
| author_facet | Te, Kai Shuan |
| author_sort | Te, Kai Shuan |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The trade openness and lower barrier for the capital flows have increased the interdependence between the stock market and the foreign exchange market. This study examines the co-movement between the markets in ASEAN-5 member countries (Malaysia, the Philippines, Indonesia, Singapore, and Thailand) from January 1, 2017, to July 31, 2021, with the study period covered the COVID-19 pandemic. Hence, this study attempts to analyse the direction of risk transfer and the co-movement between the markets in different investment horizons during the COVID-19 pandemic.
In this study, Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model and the wavelet coherence are applied to examine the return and volatility co-movement between the markets. In line with the stock-oriented model, the results from wavelet coherence show negative correlations between the market returns. However, the direction of causality in return is ambiguous with stronger co-movement observed in volatility across markets. Finally, this study found strong co-movement across investment horizons during the COVID-19 pandemic. Thus, the portfolio manager can have a better understanding of the behaviour of the markets in different investment horizons and be able to make a more diversified investment portfolio. |
| first_indexed | 2025-11-14T20:50:00Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-66581 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:50:00Z |
| publishDate | 2022 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-665812022-02-28T03:07:37Z https://eprints.nottingham.ac.uk/66581/ Dynamic co-movement and spillover between the stock market and the foreign exchange market in ASEAN-5 Te, Kai Shuan The trade openness and lower barrier for the capital flows have increased the interdependence between the stock market and the foreign exchange market. This study examines the co-movement between the markets in ASEAN-5 member countries (Malaysia, the Philippines, Indonesia, Singapore, and Thailand) from January 1, 2017, to July 31, 2021, with the study period covered the COVID-19 pandemic. Hence, this study attempts to analyse the direction of risk transfer and the co-movement between the markets in different investment horizons during the COVID-19 pandemic. In this study, Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model and the wavelet coherence are applied to examine the return and volatility co-movement between the markets. In line with the stock-oriented model, the results from wavelet coherence show negative correlations between the market returns. However, the direction of causality in return is ambiguous with stronger co-movement observed in volatility across markets. Finally, this study found strong co-movement across investment horizons during the COVID-19 pandemic. Thus, the portfolio manager can have a better understanding of the behaviour of the markets in different investment horizons and be able to make a more diversified investment portfolio. 2022-02-26 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/66581/1/MSc%20F%26I%20Dissertation-Te%20Kai%20Shuan-20318632.pdf Te, Kai Shuan (2022) Dynamic co-movement and spillover between the stock market and the foreign exchange market in ASEAN-5. [Dissertation (University of Nottingham only)] stock market foreign exchange market Covid-19 investment |
| spellingShingle | stock market foreign exchange market Covid-19 investment Te, Kai Shuan Dynamic co-movement and spillover between the stock market and the foreign exchange market in ASEAN-5 |
| title | Dynamic co-movement and spillover between the stock market and the foreign exchange market in ASEAN-5 |
| title_full | Dynamic co-movement and spillover between the stock market and the foreign exchange market in ASEAN-5 |
| title_fullStr | Dynamic co-movement and spillover between the stock market and the foreign exchange market in ASEAN-5 |
| title_full_unstemmed | Dynamic co-movement and spillover between the stock market and the foreign exchange market in ASEAN-5 |
| title_short | Dynamic co-movement and spillover between the stock market and the foreign exchange market in ASEAN-5 |
| title_sort | dynamic co-movement and spillover between the stock market and the foreign exchange market in asean-5 |
| topic | stock market foreign exchange market Covid-19 investment |
| url | https://eprints.nottingham.ac.uk/66581/ |