Volatility of FTSE Bursa Malaysia KLCI index and exchange rete around 2008 financial crisis

Lim, Xin Yi (2015) Volatility of FTSE Bursa Malaysia KLCI index and exchange rete around 2008 financial crisis. [E-LPTA] (Unpublished)

[img]
Preview
PDF
Volatility of FTSE Bursa Malaysia KLCI index and exchange rate around 2008 financial crisis (24pgs).pdf

Download (668kB) | Preview
[img] PDF (Please get the password from Digital Collection Development Unit, ext: 3932 / 3914)
Volatility of FTSE Bursa Malaysia KLCI index and exchange rate around 2008 financial crisis (fulltext).pdf
Restricted to Registered users only

Download (1MB)

Abstract

This study examines the volatility of FTSE Bursa Malayisa KLCI (FBM KLCI) index and the association with the exchange rate around the 2008 financial crisis, with a sample of 1242 observations. This study employs event study methodology. More specifically, it employs the time series trend graph to examine the movement of the FBM KLCI index return, standard deviation to study the risk correlated with the fluctuation of price and Granger Causality test is employed to examine the causality of the variables. The findings show that FBM KLCI index return is more volatile and more risky during 2008 financial crisis. Moreover, there is no relationship between stock market return and exchange rate of return around the period of financial crisis. However, there is a bidirectional causality running the exchange rate returns of United States dollar to Malaysian ringgit and exchange rate of returns of Euro to Malaysian ringgit

Item Type: E-LPTA
Additional Information: Project Report (B.Sc.) -- Universiti Malaysia Sarawak, 2015.
Uncontrolled Keywords: volatility, FTSE Bursa Malayisa KLCI (FBM KLCI), exchange rate, Financial institutions, Economic policy, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, undergraduate, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 14 Jun 2016 06:01
Last Modified: 14 Jun 2016 06:01
URI: http://ir.unimas.my/id/eprint/12337

Actions (For repository members only: login required)

View Item View Item