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Cross-markets risk management analysis in the emerging Malaysian sectoral markets

1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 organized by Universiti Malaysia Perlis (UniMAP) and co-organized by Universiti Sains Malaysia (USM) & Universiti Kebangsaan Malaysia (UKM), 2nd - 3rd June 2010 at Eastern & Oriental Hotel, Penang.

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Bibliographic Details
Main Author: Chin, Wen Cheong
Other Authors: wcchin@mmu.edu.my
Format: Working Paper
Language:English
Published: Universiti Malaysia Perlis (UniMAP) 2010
Subjects:
Multivariate ARCH
Structural change
Value at risk
Regional Conference on Applied and Engineering Mathematics (RCAEM)
Online Access:http://dspace.unimap.edu.my/xmlui/handle/123456789/10331
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spelling my.unimap-103312010-11-28T02:32:13Z Cross-markets risk management analysis in the emerging Malaysian sectoral markets Chin, Wen Cheong wcchin@mmu.edu.my Multivariate ARCH Structural change Value at risk Regional Conference on Applied and Engineering Mathematics (RCAEM) 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 organized by Universiti Malaysia Perlis (UniMAP) and co-organized by Universiti Sains Malaysia (USM) & Universiti Kebangsaan Malaysia (UKM), 2nd - 3rd June 2010 at Eastern & Oriental Hotel, Penang. This study examines the transmission of price changes and volatility among the Malaysian economic barometer (FTSE Bursa Malaysia Kuala Lumpur Composite Index-FBMKLCI) and four sectoral markets after the Asian financial crisis. In order to reveal the hidden dynamics of interactions among the sectoral markets, the pair-wise markets which consist of CI-IND, CIPLN, CI-PRP and CI-FIN are evaluated using a bivariate asymmetric BEKK model. The major intension of this study focuses on the crossmarket hedging and market risk evaluations in term of shocks and volatility. 2010-11-28T02:32:13Z 2010-11-28T02:32:13Z 2010-06-02 Working Paper Vol.4(11), p.407-412 http://hdl.handle.net/123456789/10331 en Proceedings of the 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 Universiti Malaysia Perlis (UniMAP) Institut Matematik Kejuruteraan
institution Universiti Malaysia Perlis
building UniMAP Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Perlis
content_source UniMAP Library Digital Repository
url_provider http://dspace.unimap.edu.my/
language English
topic Multivariate ARCH
Structural change
Value at risk
Regional Conference on Applied and Engineering Mathematics (RCAEM)
spellingShingle Multivariate ARCH
Structural change
Value at risk
Regional Conference on Applied and Engineering Mathematics (RCAEM)
Chin, Wen Cheong
Cross-markets risk management analysis in the emerging Malaysian sectoral markets
description 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 organized by Universiti Malaysia Perlis (UniMAP) and co-organized by Universiti Sains Malaysia (USM) & Universiti Kebangsaan Malaysia (UKM), 2nd - 3rd June 2010 at Eastern & Oriental Hotel, Penang.
author2 wcchin@mmu.edu.my
author_facet wcchin@mmu.edu.my
Chin, Wen Cheong
format Working Paper
author Chin, Wen Cheong
author_sort Chin, Wen Cheong
title Cross-markets risk management analysis in the emerging Malaysian sectoral markets
title_short Cross-markets risk management analysis in the emerging Malaysian sectoral markets
title_full Cross-markets risk management analysis in the emerging Malaysian sectoral markets
title_fullStr Cross-markets risk management analysis in the emerging Malaysian sectoral markets
title_full_unstemmed Cross-markets risk management analysis in the emerging Malaysian sectoral markets
title_sort cross-markets risk management analysis in the emerging malaysian sectoral markets
publisher Universiti Malaysia Perlis (UniMAP)
publishDate 2010
url http://dspace.unimap.edu.my/xmlui/handle/123456789/10331
_version_ 1643789813221949440
score 13.222552

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