Volatility of Stock Index and Exchange Rates in Malaysia during Economic Crisis

19 Pages Posted: 17 Apr 2007

See all articles by Roshaizam Mohamad

Roshaizam Mohamad

Universiti Teknologi MARA (UiTM)

Wan Mansor Mahmood

Universiti Teknologi MARA (UiTM)

Date Written: April 2007

Abstract

In this study we apply time-series analysis to examine empirically the contemporaneous as well as lagged relation between stock index returns volatility and exchange rates returns volatility during Asian economic crisis. The generalized autoregressive conditional heteroscedasticity (GARCH 1,1) is used to take into account for the nonlinear dependent in the data generating process. The results exhibit that both contemporaneous squared returns and contemporaneous absolute returns of exchange rate help to explain volatility of the stock index.

Keywords: Volatility, exchange rate, stock index

JEL Classification: F31, G15

Suggested Citation

Mohamad, Roshaizam and Wan Mahmood, Wan Mansor, Volatility of Stock Index and Exchange Rates in Malaysia during Economic Crisis (April 2007). Available at SSRN: https://ssrn.com/abstract=980881 or http://dx.doi.org/10.2139/ssrn.980881

Roshaizam Mohamad

Universiti Teknologi MARA (UiTM) ( email )

40450 Shah Alam
Johor
Dungun, Selangor 23000
Malaysia

Wan Mansor Wan Mahmood (Contact Author)

Universiti Teknologi MARA (UiTM) ( email )

Sura Hujung
Dungun, Terengganu 23000
Malaysia
609 8403774 (Phone)
609 8403777 (Fax)

HOME PAGE: http://www.tganu.uitm.edu.my/

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