An Analysis of Co-movement in Equity Sector Indices

• Main Authors: Aminah Shari, Fauziah Mahat
• Format: Article
• Language: English; English
• Published: Human Resource Management Academic Research Society (HRMARS)
• Subjects: HG4501-6051 Investment, capital formation, speculation
• Online Access: https://eprints.ums.edu.my/id/eprint/31858/1/An%20Analysis%20of%20Co-movement%20in%20Equity%20Sector%20Indices.pdf; https://eprints.ums.edu.my/id/eprint/31858/2/An%20Analysis%20of%20Co-movement%20in%20Equity%20Sector%20Indices1.pdf; https://eprints.ums.edu.my/id/eprint/31858/; http://dx.doi.org/10.6007/IJARBSS/v11-i9/11059

This study examines the co-movement among equity sector returns of the Malaysian capital market. The relationship is investigated using Correlation-based on Ordinary Least Square (OLS) and Multivariate-GARCH Dynamic Conditional Correlation (DCC) to examines the volatilities and correlations of secto...