Does stock market liberalization cause higher volatility in the Bursa Malaysia?
This study examines the impact of stock market liberalization on stock return volatility in the Bursa Malaysia (formerly known as the Kuala Lumpur Stock Exchange), using the EGARCH model with sudden changes of variance during the period of 1985 - 2006. The analysis is conducted based on four sub-sam...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Malaysia Sarawak
2008
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| Online Access: | http://psasir.upm.edu.my/id/eprint/14129/1/Does%20stock%20market%20liberalization%20cause%20higher%20volatility%20in%20the%20Bursa%20Malaysia.pdf |