A Nonlinear New Approach to Investigating Crisis: A Case from Malaysia
AbstractIn this paper, we have investigated the effects of Asia 97 crisis on Malaysian stock exchange market by using a nonlinear approach which gives a detailed analysis with respect to linear counterparts. Specifically, we are using generalized impulse response function (GIRF) in order to see the effects of crisis on stock indices. In order to employ GIRF analysis, we need further investigation on potential nonlinearities in conditional mean and variance equation for Malaysia stock market. Specifically, we use STAR-STGARCH family models for modeling daily returns of the Investable and Non-Investable Malaysia stock indices, covering the period 1995.06.30-2003.09.05. The analysis of this paper shows that individual markets of Malaysia have strongly been affected from the Asia 97 crisis. In addition, the Asia 97 crisis has increased the variability of the Malaysia stock market and affected foreign investors more than the domestic investors.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 20738.
Date of creation: 09 Jun 2010
Date of revision:
STAR-STGARCH; Generalized Impulse Response Function. 1997 Asia Crisis; stock markets;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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