Volatility component of derivative market: evidence from FBMKLCI based on CGARCH

• Main Authors: Haron, Razali, Ayojimi, Salami Monsurat
• Format: Conference or Workshop Item
• Language: English
• Published: 2015
• Subjects: HG4001 Financial management. Business finance. Corporation finance.
• Online Access: http://irep.iium.edu.my/46024/1/46024.pdf; http://irep.iium.edu.my/46024/; http://submit.confbay.com/conf/icogbse2015

This study examines the volatility component of Malaysian stock index. Despite extensive studies on stock index volatility, there are relatively few studies examining the volatility component of stock index in Malaysia. Using data from January 1, 2009 to December 31, 2013, this study aims to examine...