An analysis of co-movement in equity sector indices
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...
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Main Authors: | Shari, Aminah, Mahat, Fauziah |
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Format: | Article |
Published: |
Human Resource Management Academic Research Society
2021
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Online Access: | http://psasir.upm.edu.my/id/eprint/95810/ https://hrmars.com/index.php/IJARBSS/article/view/11059/An-Analysis-of-Co-movement-in-Equity-Sector-Indices |
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