Volatility of FTSE Bursa Malaysia KLCI index and exchange rete around 2008 financial crisis
This study examines the volatility of FTSE Bursa Malayisa KLCI (FBM KLCI) index and the association with the exchange rate around the 2008 financial crisis, with a sample of 1242 observations. This study employs event study methodology. More specifically, it employs the time series trend graph to...
| Main Author: | |
|---|---|
| Format: | Final Year Project Report / IMRAD |
| Language: | English |
| Published: |
Universiti Malaysia Sarawak, (UNIMAS)
2015
|
| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/12337/ http://ir.unimas.my/id/eprint/12337/1/Lim%20Xin%20Yi%20ft.pdf |
| _version_ | 1848837178447101952 |
|---|---|
| author | Lim, Xin Yi |
| author_facet | Lim, Xin Yi |
| author_sort | Lim, Xin Yi |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This study examines the volatility of FTSE Bursa Malayisa KLCI (FBM KLCI)
index and the association with the exchange rate around the 2008 financial
crisis, with a sample of 1242 observations. This study employs event study
methodology. More specifically, it employs the time series trend graph to
examine the movement of the FBM KLCI index return, standard deviation to
study the risk correlated with the fluctuation of price and Granger Causality test is
employed to examine the causality of the variables. The findings show that FBM
KLCI index return is more volatile and more risky during 2008 financial crisis.
Moreover, there is no relationship between stock market return and exchange rate of
return around the period of financial crisis. However, there is a bidirectional
causality running the exchange rate returns of United States dollar to Malaysian
ringgit and exchange rate of returns of Euro to Malaysian ringgit |
| first_indexed | 2025-11-15T06:35:32Z |
| format | Final Year Project Report / IMRAD |
| id | unimas-12337 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:35:32Z |
| publishDate | 2015 |
| publisher | Universiti Malaysia Sarawak, (UNIMAS) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-123372024-02-21T09:25:24Z http://ir.unimas.my/id/eprint/12337/ Volatility of FTSE Bursa Malaysia KLCI index and exchange rete around 2008 financial crisis Lim, Xin Yi HG Finance This study examines the volatility of FTSE Bursa Malayisa KLCI (FBM KLCI) index and the association with the exchange rate around the 2008 financial crisis, with a sample of 1242 observations. This study employs event study methodology. More specifically, it employs the time series trend graph to examine the movement of the FBM KLCI index return, standard deviation to study the risk correlated with the fluctuation of price and Granger Causality test is employed to examine the causality of the variables. The findings show that FBM KLCI index return is more volatile and more risky during 2008 financial crisis. Moreover, there is no relationship between stock market return and exchange rate of return around the period of financial crisis. However, there is a bidirectional causality running the exchange rate returns of United States dollar to Malaysian ringgit and exchange rate of returns of Euro to Malaysian ringgit Universiti Malaysia Sarawak, (UNIMAS) 2015 Final Year Project Report / IMRAD NonPeerReviewed text en http://ir.unimas.my/id/eprint/12337/1/Lim%20Xin%20Yi%20ft.pdf Lim, Xin Yi (2015) Volatility of FTSE Bursa Malaysia KLCI index and exchange rete around 2008 financial crisis. [Final Year Project Report / IMRAD] (Unpublished) |
| spellingShingle | HG Finance Lim, Xin Yi Volatility of FTSE Bursa Malaysia KLCI index and exchange rete around 2008 financial crisis |
| title | Volatility of FTSE Bursa Malaysia KLCI index and exchange rete around 2008 financial crisis |
| title_full | Volatility of FTSE Bursa Malaysia KLCI index and exchange rete around 2008 financial crisis |
| title_fullStr | Volatility of FTSE Bursa Malaysia KLCI index and exchange rete around 2008 financial crisis |
| title_full_unstemmed | Volatility of FTSE Bursa Malaysia KLCI index and exchange rete around 2008 financial crisis |
| title_short | Volatility of FTSE Bursa Malaysia KLCI index and exchange rete around 2008 financial crisis |
| title_sort | volatility of ftse bursa malaysia klci index and exchange rete around 2008 financial crisis |
| topic | HG Finance |
| url | http://ir.unimas.my/id/eprint/12337/ http://ir.unimas.my/id/eprint/12337/1/Lim%20Xin%20Yi%20ft.pdf |