Ossi, Ferli (2019) JRMB Vol. 5 No. 1 (2020). FE Uniat, Jakarta.
|
Text
JRMB 20191 OSF_compressed.pdf Download (827kB) | Preview |
Abstract
Purpose-This research aims to analyze the dynamic correlation by using stock prices daily data of 6 ASEAN equity markets during the period of 2007 until 2017 and then try to analysis the interdependence between equity markets. Design/methodology/approach-Univariate and Multivariate model AR (1), GARCH (1,1), and Dynamic Conditional Correlation (DCC). Findings- Empirical research using a Dynamic Conditional Correlation shows that there is a strong correlation in the countries of Indonesia, Malaysia, and Singapore; While correlation is still weak for Vietnam. The study results also shows from AR (1) and GARCH (1,1) model that the country of Indonesia, Malaysia, the Philippines and Viet Nam have return period t equations is influenced significantly by return lag period before. It can be seen that all the countries of ASEAN 6 have variance period t equations is influenced significantly by the variance to previous period lag and lag error previous period lag. This is consistent with the time-varrying volatility which indicates the persistence of very high volatility of stock return. Implications-The result shows that the interdependence between ASEAN 6 stock market seems still in high volatility, and progress of correlation between stock market did not have any significant leap as expected from the ASEAN Economic Community.
| Item Type: | Other |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
| Depositing User: | Mrs. Ossi Ferli |
| Date Deposited: | 14 Jul 2021 04:47 |
| Last Modified: | 16 Dec 2022 02:02 |
| URI: | http://repository.ibs.ac.id/id/eprint/2808 |
Actions (login required)
 |
View Item |
