Macroeconomic Determinants Of Stock Market Volatility: An Empirical Study Of Malaysia And Indonesia
The present study examines the relationship between stock market volatility and the volatility of macroeconomic variables in Malaysia and Indonesia. The relationship is examined through the analysis of the monthly data concerning stock indices and macroeconomic variables in Malaysia and Indonesia...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM)
2016
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| Subjects: | |
| Online Access: | http://eprints.usm.my/36668/1/aamj21012016_8.pdf |
| _version_ | 1825833515043782656 |
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| author | Nikmanesh, Lida Mohd Nor, Abu Hassan Shaari |
| author_facet | Nikmanesh, Lida Mohd Nor, Abu Hassan Shaari |
| author_sort | Nikmanesh, Lida |
| collection | USM |
| description | The present study examines the relationship between stock market volatility and the
volatility of macroeconomic variables in Malaysia and Indonesia. The relationship is
examined through the analysis of the monthly data concerning stock indices and
macroeconomic variables in Malaysia and Indonesia for the period of 1998 until 2013.
Firstly, in order to estimate the conditional volatility of each series, GARCH family
models are employed. Secondly, a Seemingly Unrelated Regression (SUR) is utilized to
determine whether any significant relationship exists between stock volatility and
macroeconomic volatility. The results of the present study provide evidence of a
significant relationship between the volatility of stock markets and macroeconomic
variables in both countries. In particular, the results indicate that macroeconomic
volatility and trade openness explain 81% of stock market volatility in Malaysia; and
75% of stock market volatility in Indonesia. The results of the present study provide more
precise information for investors making decisions relating to asset allocation.
Additionally, the findings are beneficial for managers and policy makers seeking to
reduce the negative effects of stock market volatility on economic performance. |
| first_indexed | 2024-03-06T15:08:58Z |
| format | Article |
| id | usm.eprints-36668 |
| institution | Universiti Sains Malaysia |
| language | English |
| last_indexed | 2024-03-06T15:08:58Z |
| publishDate | 2016 |
| publisher | Asian Academy of Management (AAM) |
| record_format | dspace |
| spelling | usm.eprints-366682017-09-20T01:02:15Z http://eprints.usm.my/36668/ Macroeconomic Determinants Of Stock Market Volatility: An Empirical Study Of Malaysia And Indonesia Nikmanesh, Lida Mohd Nor, Abu Hassan Shaari HD28-70 Management. Industrial Management The present study examines the relationship between stock market volatility and the volatility of macroeconomic variables in Malaysia and Indonesia. The relationship is examined through the analysis of the monthly data concerning stock indices and macroeconomic variables in Malaysia and Indonesia for the period of 1998 until 2013. Firstly, in order to estimate the conditional volatility of each series, GARCH family models are employed. Secondly, a Seemingly Unrelated Regression (SUR) is utilized to determine whether any significant relationship exists between stock volatility and macroeconomic volatility. The results of the present study provide evidence of a significant relationship between the volatility of stock markets and macroeconomic variables in both countries. In particular, the results indicate that macroeconomic volatility and trade openness explain 81% of stock market volatility in Malaysia; and 75% of stock market volatility in Indonesia. The results of the present study provide more precise information for investors making decisions relating to asset allocation. Additionally, the findings are beneficial for managers and policy makers seeking to reduce the negative effects of stock market volatility on economic performance. Asian Academy of Management (AAM) 2016 Article PeerReviewed application/pdf en http://eprints.usm.my/36668/1/aamj21012016_8.pdf Nikmanesh, Lida and Mohd Nor, Abu Hassan Shaari (2016) Macroeconomic Determinants Of Stock Market Volatility: An Empirical Study Of Malaysia And Indonesia. Asian Academy of Management Journal (AAMJ), 21 (1). pp. 1-20. ISSN 1394-2603 http://web.usm.my/aamj/21012016/aamj21012016_8.pdf |
| spellingShingle | HD28-70 Management. Industrial Management Nikmanesh, Lida Mohd Nor, Abu Hassan Shaari Macroeconomic Determinants Of Stock Market Volatility: An Empirical Study Of Malaysia And Indonesia |
| title | Macroeconomic Determinants Of Stock
Market Volatility: An Empirical Study Of
Malaysia And Indonesia |
| title_full | Macroeconomic Determinants Of Stock
Market Volatility: An Empirical Study Of
Malaysia And Indonesia |
| title_fullStr | Macroeconomic Determinants Of Stock
Market Volatility: An Empirical Study Of
Malaysia And Indonesia |
| title_full_unstemmed | Macroeconomic Determinants Of Stock
Market Volatility: An Empirical Study Of
Malaysia And Indonesia |
| title_short | Macroeconomic Determinants Of Stock
Market Volatility: An Empirical Study Of
Malaysia And Indonesia |
| title_sort | macroeconomic determinants of stock market volatility an empirical study of malaysia and indonesia |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/36668/1/aamj21012016_8.pdf |
| work_keys_str_mv | AT nikmaneshlida macroeconomicdeterminantsofstockmarketvolatilityanempiricalstudyofmalaysiaandindonesia AT mohdnorabuhassanshaari macroeconomicdeterminantsofstockmarketvolatilityanempiricalstudyofmalaysiaandindonesia |