Dynamic co-movement and spillover between the stock market and the foreign exchange market in ASEAN-5

Te, Kai Shuan (2022) Dynamic co-movement and spillover between the stock market and the foreign exchange market in ASEAN-5. [Dissertation (University of Nottingham only)]

[img] PDF - Registered users only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (2MB)

Abstract

The trade openness and lower barrier for the capital flows have increased the interdependence between the stock market and the foreign exchange market. This study examines the co-movement between the markets in ASEAN-5 member countries (Malaysia, the Philippines, Indonesia, Singapore, and Thailand) from January 1, 2017, to July 31, 2021, with the study period covered the COVID-19 pandemic. Hence, this study attempts to analyse the direction of risk transfer and the co-movement between the markets in different investment horizons during the COVID-19 pandemic.

In this study, Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model and the wavelet coherence are applied to examine the return and volatility co-movement between the markets. In line with the stock-oriented model, the results from wavelet coherence show negative correlations between the market returns. However, the direction of causality in return is ambiguous with stronger co-movement observed in volatility across markets. Finally, this study found strong co-movement across investment horizons during the COVID-19 pandemic. Thus, the portfolio manager can have a better understanding of the behaviour of the markets in different investment horizons and be able to make a more diversified investment portfolio.

Item Type: Dissertation (University of Nottingham only)
Keywords: stock market, foreign exchange market, Covid-19, investment
Depositing User: Te, Kai Shuan
Date Deposited: 28 Feb 2022 03:07
Last Modified: 28 Feb 2022 03:07
URI: https://eprints.nottingham.ac.uk/id/eprint/66581

Actions (Archive Staff Only)

Edit View Edit View