Gauging Stock Price Volatility during the Financial Crisis using a Multivariate Cointegration Analysis

Zuriyati Ahmad, Tuan Nadiah Tuan Razilah

2019

Abstract

The stock price performance can be an indicator to reflect current economic conditions, trends and public trust in economic performance. Macroeconomic variables theoretically affect the stock market as the stability of macroeconomic variables can help to stabilize the stock price. Nonetheless, previous findings show the stock market experienced a little difficulty because the shock event happened in Malaysia. Thus, this study aims to gauge stock price volatility the financial crises. Monthly time series data spanning from 1996 to 2014 is applied to the multivariate model with inclusion of dummy variable of financial crisis. The normal OLS and Johansen cointegration test are applied to examine the changes of stock price. The finding indicates a strong impact of financial crisis is found towards the stock price when it tested using a multivariate analysis. While a cointegration exists in the stock price model. Nonetheless, when checking for the long run equilibrium, the financial crisis is insignificant towards the volatility of stock price in Malaysia.

Paper Citation

in Harvard Style

Ahmad Z. and Tuan Razilah T. (2019). Gauging Stock Price Volatility during the Financial Crisis using a Multivariate Cointegration Analysis. In Proceedings of the 2nd Economics and Business International Conference - Volume 1: EBIC, ISBN 978-989-758-498-5, pages 585-590. DOI: 10.5220/0009327005850590

in Bibtex Style

@conference{ebic19,
author={Zuriyati Ahmad and Tuan Nadiah Tuan Razilah},
title={Gauging Stock Price Volatility during the Financial Crisis using a Multivariate Cointegration Analysis},
booktitle={Proceedings of the 2nd Economics and Business International Conference - Volume 1: EBIC,},
year={2019},
pages={585-590},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0009327005850590},
isbn={978-989-758-498-5},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 2nd Economics and Business International Conference - Volume 1: EBIC,
TI - Gauging Stock Price Volatility during the Financial Crisis using a Multivariate Cointegration Analysis
SN - 978-989-758-498-5
AU - Ahmad Z.
AU - Tuan Razilah T.
PY - 2019
SP - 585
EP - 590
DO - 10.5220/0009327005850590