Kemeruapan bersyarat dan korelasi dinamik pasaran saham ASEAN

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Kemeruapan bersyarat dan korelasi dinamik pasaran saham ASEAN

Kajian ini melihat hubung kait antara pasaran saham di rantau ASEAN-5 dengan menggunakan model GARCH multivariat (MGARCH). Hasil kajian menunjukkan bahawa kebanyakan pasaran mengalami darjah kemeruapan yang tinggi dalam tempoh krisis terutama semasa krisis kewangan Asia. Hasil kajian juga menunjuk...

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Bibliographic Details
Main Authors:	Abu Hassan Shaari Md Nor, Mori Kogid, Tamat Sarmidi
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2015
Online Access:	http://journalarticle.ukm.my/9425/ http://journalarticle.ukm.my/9425/1/11121-30847-1-PB.pdf

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