Cointegration and Causality Analysis On Developed Asian Markets For Risk Management And Portofolio Selection

Both practitioners and academics demand a linkage model acrossfinancial markets, particularly among regional capital markets, for both risk management and portfolio selection purposes. Researchers frequently use cointegration and causality analysis in investigating the dependence or co-movement of t...

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Main Author: Perpustakaan UGM, i-lib
Format: Article
Published: [Yogyakarta] : Universitas Gadjah Mada 2008
Subjects:
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author Perpustakaan UGM, i-lib
author_facet Perpustakaan UGM, i-lib
author_sort Perpustakaan UGM, i-lib
collection UGM
description Both practitioners and academics demand a linkage model acrossfinancial markets, particularly among regional capital markets, for both risk management and portfolio selection purposes. Researchers frequently use cointegration and causality analysis in investigating the dependence or co-movement of three or more stock markets in different countries. However, they mostly conduct causality in mean tests but not causality in variance tests. This study assesses the cointegration and causal relations among seven developed Asian markets, i.e., Tokyo, Hong Kong, Korea, Taiwan, Shanghai, Singapore, and Kuala Lumpur stock exchanges, using more frequent time series data. It employs the recently developed techniques for investigating unit roots, cointegration, time-varying volatility, and causality in variance. For estimating por~folio market risk, this study employs Value-atRisk with delta normal approach. The results would recommend whether fund managers are able to diversify their portfolio in these developed stock markets either in long run or in short run. Keywords: Asian Stock Markets
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spelling oai:generic.eprints.org:275722014-06-18T00:24:48Z https://repository.ugm.ac.id/27572/ Cointegration and Causality Analysis On Developed Asian Markets For Risk Management And Portofolio Selection Perpustakaan UGM, i-lib Jurnal i-lib UGM Both practitioners and academics demand a linkage model acrossfinancial markets, particularly among regional capital markets, for both risk management and portfolio selection purposes. Researchers frequently use cointegration and causality analysis in investigating the dependence or co-movement of three or more stock markets in different countries. However, they mostly conduct causality in mean tests but not causality in variance tests. This study assesses the cointegration and causal relations among seven developed Asian markets, i.e., Tokyo, Hong Kong, Korea, Taiwan, Shanghai, Singapore, and Kuala Lumpur stock exchanges, using more frequent time series data. It employs the recently developed techniques for investigating unit roots, cointegration, time-varying volatility, and causality in variance. For estimating por~folio market risk, this study employs Value-atRisk with delta normal approach. The results would recommend whether fund managers are able to diversify their portfolio in these developed stock markets either in long run or in short run. Keywords: Asian Stock Markets [Yogyakarta] : Universitas Gadjah Mada 2008 Article NonPeerReviewed Perpustakaan UGM, i-lib (2008) Cointegration and Causality Analysis On Developed Asian Markets For Risk Management And Portofolio Selection. Jurnal i-lib UGM. http://i-lib.ugm.ac.id/jurnal/download.php?dataId=10632
spellingShingle Jurnal i-lib UGM
Perpustakaan UGM, i-lib
Cointegration and Causality Analysis On Developed Asian Markets For Risk Management And Portofolio Selection
title Cointegration and Causality Analysis On Developed Asian Markets For Risk Management And Portofolio Selection
title_full Cointegration and Causality Analysis On Developed Asian Markets For Risk Management And Portofolio Selection
title_fullStr Cointegration and Causality Analysis On Developed Asian Markets For Risk Management And Portofolio Selection
title_full_unstemmed Cointegration and Causality Analysis On Developed Asian Markets For Risk Management And Portofolio Selection
title_short Cointegration and Causality Analysis On Developed Asian Markets For Risk Management And Portofolio Selection
title_sort cointegration and causality analysis on developed asian markets for risk management and portofolio selection
topic Jurnal i-lib UGM
work_keys_str_mv AT perpustakaanugmilib cointegrationandcausalityanalysisondevelopedasianmarketsforriskmanagementandportofolioselection