• ISSN: 2010-023X (Print)
    • Abbreviated Title: Int. J. Trade, Economics and Financ.
    • Frequency: Quaterly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Managing Editor: Ms. Shira. W. Lu
    • Abstracting/ Indexing:  Crossref, Electronic Journals Library , EBSCO
    • E-mail: ijtef.editorial.office@gmail.com
HOME > Archive > 2010 > Volume 1 Number 4 (Dec. 2010) >
IJTEF 2010 Vol.1(4): 387-391 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2010.V1.68

MODELING THE EFFECTS OF THE GLOBAL FINANCIAL CRISIS ON THE MALAYSIAN MARKET

Amir Angabini and Shaista Wasiuzzaman

Abstract—Stock market volatility is important in determining the cost of capital and to assess investment and leverage decisions since volatility is synonymous with risk. Risk-averse investors could be affected negatively due to substantial changes in volatility of the financial markets. We focus on the global crisis of 2007/2008 and its impact on the Malaysian financial market. We use GARCH models to model the volatility in order to determine the effect of the crisis on the KLCI. In order to be able to model the volatility, we first test the efficiency of the market using ARIMA models. We found that because of the financial crisis there was an increase in the impact of news about volatility from the previous periods but only a slight drop in the persistency of the conditional variance.

Index Terms—Financial market, volatility forecasting, global financial crisis

Amir Angabini, Faculty of Mangement, Multimedia University, Cyberjaya, Malaysia, amir_2005641@yahoo.com.
Shaista Wasiuzzaman, Faculty of Management, Multimedia University, Cyberjaya, Malaysia, shaista@mmu.edu.my

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Cite:Amir Angabini and Shaista Wasiuzzaman, "MODELING THE EFFECTS OF THE GLOBAL FINANCIAL CRISIS ON THE MALAYSIAN MARKET," International Journal of Trade, Economics and Finance vol.1, no.4, pp. 387-391, 2010.

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