Impact of capital control measures on the Malaysian stock market
Purpose - The purpose of this paper is to examine the extent to which the capital control measures implemented by the Malaysian central bank in late 1998 had an influence on segmenting the Malaysian equity market from other major equity markets. Design/methodology/approach - The S&P 500, the Nikkei 225 Index, the STI Index and the KLSE Composite Index are considered. The discrete wavelet transform technique – “Haar” is employed to decompose the series into various time scales during the pre- and post-capital control periods in Malaysia. The decomposed series are then used to estimate the interdependence between KLSE Composite Index with the other three markets at various time scales. Findings - The empirical findings support three conclusions. First, in the pre-capital control period, Singapore is the most influential market followed by the US across all time scales in transmitting news into Malaysia. Second, after the imposition of capital controls, the spillover effects from Singapore to Malaysia have declined substantially, suggesting a reduced integration between these two markets. Finally, in the post-capital control period, all three markets appear to be imparting a similar but moderate level of influence on the Malaysian market. Research limitations/implications - To explore the return and volatility spillovers, the use of return and volatility series at different time scales provided a greater level of insight into the dynamics than the standard approaches which employ only one series in the time domain. Originality/value - The results from this paper will have potential implications for asset allocation, the pricing of domestic securities, the implementation of global hedging and trading strategies and the evaluation of regulatory proposals to restrict international capital flows.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 6 (2010)
Issue (Month): 2 (June)
|Contact details of provider:|| Web page: http://www.emeraldinsight.com|
|Order Information:|| Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK|
Web: http://emeraldgrouppublishing.com/products/journals/journals.htm?id=ijmf Email:
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sang W. Kim & John H. Rogers, 1995.
"International stock price spillovers and market liberalization: evidence from Korea, Japan, and the United States,"
International Finance Discussion Papers
499, Board of Governors of the Federal Reserve System (U.S.).
- Kim, Sang W. & Rogers, John H., 1995. "International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States," Journal of Empirical Finance, Elsevier, vol. 2(2), pages 117-133, June.
- Kim, S.W. & Rogers, J.H., 1993. "International Stock Price Spillovers and Market Liberalization: Evidence from Korea, Japan, and the United States," Papers 4-93-7, Pennsylvania State - Department of Economics.
- Robert F. Engle & Victor K. Ng, 1991.
"Measuring and Testing the Impact of News on Volatility,"
NBER Working Papers
3681, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
- Viviana Fernandez, 2004. "Detection of Breakpoints in Volatility," Documentos de Trabajo 194, Centro de Economía Aplicada, Universidad de Chile.
- Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
- Koutmos, Gregory & Booth, G Geoffrey, 1995. "Asymmetric volatility transmission in international stock markets," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 747-762, December.
- Hahn Shik Lee, 2004. "International transmission of stock market movements: a wavelet analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(3), pages 197-201.
- Mehmet Dalkir, 2004. "A new approach to causality in the frequency domain," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-14.
- repec:ebl:ecbull:v:3:y:2004:i:44:p:1-14 is not listed on IDEAS
- Ramsey, James B. & Lampart, Camille, 1998. "Decomposition Of Economic Relationships By Timescale Using Wavelets," Macroeconomic Dynamics, Cambridge University Press, vol. 2(01), pages 49-71, March.
- Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
- Ramsey James B. & Lampart Camille, 1998. "The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(1), pages 1-22, April.
- Ramsey, James B. & Zhang, Zhifeng, 1997. "The analysis of foreign exchange data using waveform dictionaries," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 341-372, December.
When requesting a correction, please mention this item's handle: RePEc:eme:ijmfpp:v:6:y:2010:i:2:p:116-127. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Virginia Chapman)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.