Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange
AbstractFor both risk management and portfolio selection purposes, modeling the linkage across financial markets is crucial, especially among neighboring stock markets. In investigating the dependence or co-movement of three or more stock markets in different countries, researchers frequently use co-integration and causality analysis. Nevertheless, they conducted the causality in mean tests but not the causality in variance tests. This paper examines the co-integration and causal relations among three major stock exchanges in Southeast Asia, i.e Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange. It employs the recently developed techniques for investigating unit roots, co-integration, time-varying volatility, and causality in variance. For estimating market risk of portfolio, this paper employs Value-at-Risk with delta-normal approach.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 9632.
Date of creation: 15 Oct 2007
Date of revision:
Risk Management; Causality; Co-integration; Stock Markets;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-07-30 (All new papers)
- NEP-FMK-2008-07-30 (Financial Markets)
- NEP-RMG-2008-07-30 (Risk Management)
- NEP-SEA-2008-07-30 (South East Asia)
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