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: | , |
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| Format: | Article |
| Language: | English English |
| Published: |
Human Resource Management Academic Research Society (HRMARS)
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| Subjects: | |
| Online Access: | https://eprints.ums.edu.my/id/eprint/31858/1/An%20Analysis%20of%20Co-movement%20in%20Equity%20Sector%20Indices.pdf https://eprints.ums.edu.my/id/eprint/31858/2/An%20Analysis%20of%20Co-movement%20in%20Equity%20Sector%20Indices1.pdf https://eprints.ums.edu.my/id/eprint/31858/ http://dx.doi.org/10.6007/IJARBSS/v11-i9/11059 |
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| Institution: | Universiti Malaysia Sabah |
| Language: | English English |
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