Proceedings of the 3rd Beehive International Social Innovation Conference, BISIC 2020, 3-4 October 2020, Bengkulu, Indonesia

Research Article

The Volatility of ASIAN Stock Exchange Post Monetary Crisis: Utilizing ARCH Family Model

Download353 downloads
  • @INPROCEEDINGS{10.4108/eai.3-10-2020.2306612,
        author={Ahmad  Juliana and Roni  Padliansyah and Riska  Yulianti and Nurul  Hidayat},
        title={The Volatility of ASIAN Stock Exchange Post Monetary Crisis: Utilizing ARCH Family Model},
        proceedings={Proceedings of the 3rd Beehive  International Social Innovation Conference, BISIC 2020, 3-4 October 2020, Bengkulu, Indonesia},
        publisher={EAI},
        proceedings_a={BISIC},
        year={2021},
        month={5},
        keywords={volatility; arch model; symmetric garch; asymmetric garch},
        doi={10.4108/eai.3-10-2020.2306612}
    }
    
  • Ahmad Juliana
    Roni Padliansyah
    Riska Yulianti
    Nurul Hidayat
    Year: 2021
    The Volatility of ASIAN Stock Exchange Post Monetary Crisis: Utilizing ARCH Family Model
    BISIC
    EAI
    DOI: 10.4108/eai.3-10-2020.2306612
Ahmad Juliana1,*, Roni Padliansyah2, Riska Yulianti1, Nurul Hidayat1
  • 1: Program Studi Manajemen – Univeristas Borneo Tarakan
  • 2: Jurusan Akuntansi – Univeristas Borneo Tarakan
*Contact email: ahmadjuliana75@gmail.com

Abstract

This study examines heteroscedasticity in the index data of 5 countries, including Malaysia, China, Indonesia, Singapore and Japan. The study also determines the level of volatility that can describe future returns and risks that affect investment behavior. Additionally, this research analyzes whether post-crisis economic growth can affect a countries volatility level. The ARCH model will describe volatility in 5 indexes, while the Symmetric and Asymmetric GARCH methods capture negative shocks affecting the level of volatility. The results showed significant ARCH and GARCH effects, such that market fluctuations or the level of volatility that occurs after a crisis is quite large and shocks have an influence. However, the GARCH-M model (1.1) for the four sample countries did not establish any significant risk premium. Different events cause significant risk premiums are in Singapore. Asymmetric modeling in both EGARCH (1.1) and TGARCH (1.1) models showed insignificant results in all 5 sample countries. This implies that negative shocks do not affect investors' responses than positive ones, which influences the market's volatility level. The study modeled volatility in 4 Asian countries and Indonesia using the ARCH family approach to increase the robustness of capturing ASIAN stock exchanges' uncertainty.