The effect of dynamic relationship between domestic market and world market on stock returns volatility

Najmudin, Najmudin; Kurniasih, Retno; Sulistyandari,; Jati, Dian Purnomo

doi:10.1088/1755-1315/255/1/012052

Cited by 2 publications

(4 citation statements)

References 23 publications

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“…This means that they had a minimal level of co-movement and tended to be segmented from other stock markets. This finding supports the results of studies by Najmudin et al (2019), Palac-McMiken (1997), Roca, Selvanathan, and Shepherd (1998), Wahyudi et al (2018), who also found that the Indonesian capital market tended to be segmented, and so was the Philippine stock market , Robiyanto, 2017. They tended to be segmented because the factors influencing the movement of these stocks during the observation period were dominated by internal factors rather than external factors, especially the regional ones such as political factors.…”

Section: Resultssupporting

confidence: 87%

“…This means that before the GFC, Indonesia and Malaysia had a minimal level of comovement and tended to be segmented from other stock markets. This finding supports the results of studies by Najmudin et al (2017), Najmudin et al (2019), Wahyudi et al (2018), Roca, Selvanathan and Shepherd (1998), Palac-McMiken (1997) who also found that the Indonesian capital market tended to be segmented. This finding also supports Karim, Kassim and Arip (2010), which found there is no contagion effect in Islamic financial markets which consists of Indonesia and Malaysia.…”

Section: Pre-gfc Period (January 1997 -June 2007)supporting

confidence: 91%

“…This finding is also supported by Park (2013), Muharam, Anwar and Robiyanto (2019) who found that stock market integration in Indonesia, Malaysia, Philippines, and Thailand tended to be different from other Asian countries. Findings by Najmudin et al (2019), Wahyudi et al (2018), also supported the previous findings, concluding that the Indonesian and Philippine stock markets tended to be segmented compared to other ASEAN stock markets.…”

Section: Asian Stock Markets Integrationsupporting

confidence: 80%

See 2 more Smart Citations

Measuring Asian Stock Market Integration by Using Orthogonal Generalized Autoregressive Conditional Heteroscedasticity

Muharam¹,

Robiyanto²,

Pangestuti³

et al. 2020

Montenegrin Journal of Economics

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Section: Resultssupporting

confidence: 87%

Section: Pre-gfc Period (January 1997 -June 2007)supporting

confidence: 91%

Section: Asian Stock Markets Integrationsupporting

confidence: 80%

See 1 more Smart Citation

Measuring Asian Stock Market Integration by Using Orthogonal Generalized Autoregressive Conditional Heteroscedasticity

Muharam¹,

Robiyanto²,

Pangestuti³

et al. 2020

Montenegrin Journal of Economics

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“…Due to globalization and financial market liberalization, integrated domestic financial assets might not be protected from shocks from world markets. The returns volatility in an integrated domestic market would be influenced by the pattern of returns volatility in the world market (Jebran et al 2017;Najmudin 2019). We predict that the endurance capability of an equity market could reduce this volatility spillover effect.…”

Section: Introductionmentioning

confidence: 96%

Do Instabilities in National Macroeconomic Factors Contribute to Channeling Volatility Spillover from the Global to the Islamic Equity Market?

Muharam

Najmudin

Mawardi

et al. 2021

CER

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This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted from the global to the Islamic equity market. The economic factors examined are the exchange rate, inflation rate, interest rate, and production growth. To achieve the purpose of the study, we utilize three analysis tools: a GARCH(p,q) model to derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure of volatility spillover as the dependent variable; and a panel data regression technique to assess the causality significance of macroeconomic factors to volatility spillover. This study is the first which expands such approaches. We observe monthly data of world and Islamic market indices, exchange rates, consumer price indices, interest rates, and industrial production indices. The data, which range from May 2002 to February 2019, are taken from the world market, and twenty-three economies, which consist of fourteen developed and nine emerging markets that have Islamic stock indices. In several sections, we provide important additional analysis for five stock markets in Central European economies, which are compared to the others. The finding suggests that the presence of volatility spillover on the Islamic markets that originates from the global market is affected by the internal instabilities of macroeconomic factors, except for industrial production instability for developed markets, including Central European markets. An implication of the study is that regulators should anticipate and prevent adverse consequences of volatility spillover by arranging their internal economic policy to control inflation rates, interest rates, and industrial production growth, as well as exchange rate flexibility. Moreover, market practitioners should include both global market volatility and macroeconomic instabilities in their prediction to create minimum risk.

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The effect of dynamic relationship between domestic market and world market on stock returns volatility

Cited by 2 publications

References 23 publications

Measuring Asian Stock Market Integration by Using Orthogonal Generalized Autoregressive Conditional Heteroscedasticity

Measuring Asian Stock Market Integration by Using Orthogonal Generalized Autoregressive Conditional Heteroscedasticity

Do Instabilities in National Macroeconomic Factors Contribute to Channeling Volatility Spillover from the Global to the Islamic Equity Market?

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