Volatility behavior patterns and information transmission mechanism : evidence from Malaysian futures markets
This study employs bivariate ARMA(p,q)-EGARCH(p,q) model specifications model to investigate whether information between Malaysian futures and cash markets is transmitted through first moments or second moments or both. Using daily data, the study covers the period from January 2, 1990 until Dece...
| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
2005
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| Online Access: | http://eprints.usm.my/55067/1/NORYATI%20BINTI%20AHMAD%20full24.pdf |
| _version_ | 1797013356110938112 |
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| author | Ahmad, Noryati |
| author_facet | Ahmad, Noryati |
| author_sort | Ahmad, Noryati |
| collection | USM |
| description | This study employs bivariate ARMA(p,q)-EGARCH(p,q) model specifications
model to investigate whether information between Malaysian futures and cash
markets is transmitted through first moments or second moments or both. Using daily
data, the study covers the period from January 2, 1990 until December 31, 2003. The
study also investigates the effects of the Malaysian futures - cash market relationship
in the light of international market interdependencies. More specifically, it looks at
whether information from foreign futures markets of S&P SOO, HSIF and NSIF
influence the futures-cash relationship and whether the effects come through price
level or volatility or both. In addition, the study also looks at the volatility patterns of
Malaysian futures markets in order to facilitate a better understanding of the volatility
transmission process. Lastly, to determine whether this transmission of information
process (be it within and across markets) is affected by structural changes, the
sample period was sub -divided into pre-crisis, during-crisis and post-crisis periods.
Results indicate that the volatility behavior patterns of FKLI and FCPO futures
markets are highly persistent but mean-reverting. Volatility of these futures markets
also reacted asymmetrically to its past innovations, where positive news caused
higher volatility than negative news. Transmission of information between Malaysian
futures and cash markets occurs at both returns and volatility level, where futures
markets tend to dominate the cash market at both levels. Volatility transmission is not
asymmetric when the interactions between the futures and cash markets are
included. The error correction terms have significant predictive power on both the
conditional mean and volatility of these futures markets. Findings show that domestic
futures-cash relationship is being influenced by the information transmitted from
foreign futures markets. As for the Malaysian stock index futures, S&P 500 futures is
the information producer at return level, while HSIF futures is at volatility level. NSIF
futures have no influence on the volatility of FKLI and its related cash markets |
| first_indexed | 2024-03-06T16:00:56Z |
| format | Thesis |
| id | usm.eprints-55067 |
| institution | Universiti Sains Malaysia |
| language | English |
| last_indexed | 2024-03-06T16:00:56Z |
| publishDate | 2005 |
| record_format | dspace |
| spelling | usm.eprints-550672022-09-30T15:40:35Z http://eprints.usm.my/55067/ Volatility behavior patterns and information transmission mechanism : evidence from Malaysian futures markets Ahmad, Noryati RK1-715 Dentistry This study employs bivariate ARMA(p,q)-EGARCH(p,q) model specifications model to investigate whether information between Malaysian futures and cash markets is transmitted through first moments or second moments or both. Using daily data, the study covers the period from January 2, 1990 until December 31, 2003. The study also investigates the effects of the Malaysian futures - cash market relationship in the light of international market interdependencies. More specifically, it looks at whether information from foreign futures markets of S&P SOO, HSIF and NSIF influence the futures-cash relationship and whether the effects come through price level or volatility or both. In addition, the study also looks at the volatility patterns of Malaysian futures markets in order to facilitate a better understanding of the volatility transmission process. Lastly, to determine whether this transmission of information process (be it within and across markets) is affected by structural changes, the sample period was sub -divided into pre-crisis, during-crisis and post-crisis periods. Results indicate that the volatility behavior patterns of FKLI and FCPO futures markets are highly persistent but mean-reverting. Volatility of these futures markets also reacted asymmetrically to its past innovations, where positive news caused higher volatility than negative news. Transmission of information between Malaysian futures and cash markets occurs at both returns and volatility level, where futures markets tend to dominate the cash market at both levels. Volatility transmission is not asymmetric when the interactions between the futures and cash markets are included. The error correction terms have significant predictive power on both the conditional mean and volatility of these futures markets. Findings show that domestic futures-cash relationship is being influenced by the information transmitted from foreign futures markets. As for the Malaysian stock index futures, S&P 500 futures is the information producer at return level, while HSIF futures is at volatility level. NSIF futures have no influence on the volatility of FKLI and its related cash markets 2005-10 Thesis NonPeerReviewed application/pdf en http://eprints.usm.my/55067/1/NORYATI%20BINTI%20AHMAD%20full24.pdf Ahmad, Noryati (2005) Volatility behavior patterns and information transmission mechanism : evidence from Malaysian futures markets. PhD thesis, Universiti Sains Malaysia.. |
| spellingShingle | RK1-715 Dentistry Ahmad, Noryati Volatility behavior patterns and information transmission mechanism : evidence from Malaysian futures markets |
| title | Volatility behavior patterns and information transmission mechanism : evidence from Malaysian futures markets |
| title_full | Volatility behavior patterns and information transmission mechanism : evidence from Malaysian futures markets |
| title_fullStr | Volatility behavior patterns and information transmission mechanism : evidence from Malaysian futures markets |
| title_full_unstemmed | Volatility behavior patterns and information transmission mechanism : evidence from Malaysian futures markets |
| title_short | Volatility behavior patterns and information transmission mechanism : evidence from Malaysian futures markets |
| title_sort | volatility behavior patterns and information transmission mechanism evidence from malaysian futures markets |
| topic | RK1-715 Dentistry |
| url | http://eprints.usm.my/55067/1/NORYATI%20BINTI%20AHMAD%20full24.pdf |
| work_keys_str_mv | AT ahmadnoryati volatilitybehaviorpatternsandinformationtransmissionmechanismevidencefrommalaysianfuturesmarkets |