IDEAS home Printed from https://ideas.repec.org/h/spr/prbchp/978-3-319-43434-6_61.html
   My bibliography  Save this book chapter

Volatility Persistence and Shock Absorption Capacity of the Malaysian Stock Market

In: Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy

Author

Listed:
  • Elgilani Eltahir Elshareif

    (Canadian University of Dubai)

  • Muhammed Kabir

    (Canadian University of Dubai
    University of New Brunswick)

Abstract

Estimation of the extent of volatility in stock markets induced by external shocks and the persistence of it is very important and has policy significance for the macroeconomic policy makers, central bankers, and the financial market participants. In the current study, we examine the overestimation bias of volatility and its persistence using EGARCH-M models for the Malaysian stock market composite index (KLCI), as well as three sub-sectoral indices. The empirical evidence shows that there are asymmetric responses by the stock indices whereby volatility originating from ascending versus descending stock market has different impacts. In addition, we have found that the volatility is highly persistent and the shock absorption capacity of the stock market has been underestimated. However, this finding suggests that there might have been some estimation bias due to misspecification of the model. This implies that the policy makers and market participants must exercise caution in drawing conclusions from this class of models.

Suggested Citation

  • Elgilani Eltahir Elshareif & Muhammed Kabir, 2017. "Volatility Persistence and Shock Absorption Capacity of the Malaysian Stock Market," Springer Proceedings in Business and Economics, in: Rachid Benlamri & Michael Sparer (ed.), Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy, chapter 0, pages 699-704, Springer.
    • Handle: RePEc:spr:prbchp:978-3-319-43434-6_61
    DOI: 10.1007/978-3-319-43434-6_61
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:prbchp:978-3-319-43434-6_61. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.