Asymmetric volatility spillover between oil market, gold market and Malaysian stock market

• Main Authors: Choo, Then Leng, Lim, Jing Yi, Loh, Kean Woh, Sam, Jia Hao, Cheong, Shanny
• Format: Final Year Project / Dissertation / Thesis
• Published: 2020
• Subjects: HG Finance
• Online Access: http://eprints.utar.edu.my/4003/1/fyp_FN_2020_CTL_%2D_1605701.pdf; http://eprints.utar.edu.my/4003/
• Institution: Universiti Tunku Abdul Rahman

This paper examines the asymmetric relationship between oil market volatility, gold market volatility and Malaysian stock market volatility. Monthly data of KLCI, OVX and GVZ which span over the period from January 2009 to December 2018 was obtained from Bloomberg Terminal. Most of the previous stud...