Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection

Both practitioners and academicians demand a linkage model across financial markets, particularly among regional capital markets, for both risk management and portfolio selection purposes. Researchers frequently use co-integration and causality analysis in investigating the dependence or co-movement of three or more stock markets in different countries. However, they conducted the causality in mean tests but not the causality in variance tests. This study assesses the co-integration and causal relations among seven developed Asian markets, i.e Tokyo, Hongkong, Korea, Taiwan, Shanghai, Singapore, and Kuala Lumpur stock exchanges, using more frequent time series data. It employs the recently developed techniques for investigating unit roots, co-integration, time-varying volatility, and causality in variance. For estimating portfolio market risk, this study employs Value-at-Risk with delta-normal approach. The results show whether fund managers would be able to diversify their portfolio in these developed stock markets either in long run or short run.Risk Management, Causality, Co-integration, Asian Stock Markets

Volatility Model for Financial Market Risk Management : An Analysis on JSX Index Return Covariance Matrix

In measuring risk, practitioners have practiced one of the two extreme approaches for so long, i.e. historical simulation or risk metrics. Meanwhile, academicians tend to apply methods based on the latest development in financial econometrics. In this study, we try to assess one of important issues in financial econometric development that focuses on market risk measurement and management employing asset-based models, i.e. models that apply dimensional covariance matrix, which is relevant to practice world. We compare covariance matrix model with Exponential Smoothing Model and GARCH Derivation and the Associated Derivation Models, using JSX Stock price Index data in 2000-2005. The result of this study shows how applicable the observed financial econometric instrument in Financial Market Risk Management practice.Risk Management, Volatility Model

Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets

Volatility forecasting is an imperative research field in financial markets and crucial component in most financial decisions. Nevertheless, which model should be used to assess volatility remains a complex issue as different volatility models result in different volatility approximations. The concern becomes more complicated when one tries to use the forecasting for asset distribution and risk management purposes in the linked regional markets. This paper aims at observing the effectiveness of the contending models of statistical and econometric volatility forecasting in the three South-east Asian prominent capital markets, i.e. STI, KLSE, and JKSE. In this paper, we evaluate eleven different models based on two classes of evaluation measures, i.e. symmetric and asymmetric error statistics, following Kumar’s (2006) framework. We employ 10-year data as in sample and 6-month data as out of sample to construct and test the models, consecutively. The resulting superior methods, which are selected based on the out of sample forecasts and some evaluation measures in the respective markets, are then used to assess the markets cointegration. We find that the best volatility forecasting models for JKSE, KLSE, and STI are GARCH (2,1), GARCH(3,1), and GARCH (1,1), respectively. We also find that international portfolio investors cannot benefit from diversification among these three equity markets as they are cointegrated.Volatility Forecasting, Capital Market, Risk Management

Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection

Both practitioners and academicians demand a linkage model across financial markets, particularly among regional capital markets, for both risk management and portfolio selection purposes. Researchers frequently use co-integration and causality analysis in investigating the dependence or co-movement of three or more stock markets in different countries. However, they conducted the causality in mean tests but not the causality in variance tests. This study assesses the co-integration and causal relations among seven developed Asian markets, i.e Tokyo, Hongkong, Korea, Taiwan, Shanghai, Singapore, and Kuala Lumpur stock exchanges, using more frequent time series data. It employs the recently developed techniques for investigating unit roots, co-integration, time-varying volatility, and causality in variance. For estimating portfolio market risk, this study employs Value-at-Risk with delta-normal approach. The results show whether fund managers would be able to diversify their portfolio in these developed stock markets either in long run or short run

Liquidity Measurement Based on Bid-Ask Spread, Trading Frequency, and Liquidity Ratio: The Use of GARCH Model on Jakarta Stock Exchange (JSX)

This paper attempts to investigate and clarify previous studies on market liquidity measurement, which involve Bid-Ask Spread, Trading Frequency, and Liquidity Ratio variables. To strengthen our findings, we employ Volatility Models of ARCH and GARCH, as well as JSX daily, weekly, and monthly time series data. Our findings reveal that the observed variables are able to explain volatility magnitude of JSX in terms of liquidity. Volatility model incorporating Trading Frequency variable with monthly data is found the most suitable model for measuring liquidity of JSX.Bid-Ask Spread, Trading Frequency, Liquidity Ratio, and ARCH/GARCH

Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection

Both practitioners and academicians demand a linkage model across financial markets, particularly among regional capital markets, for both risk management and portfolio selection purposes. Researchers frequently use co-integration and causality analysis in investigating the dependence or co-movement of three or more stock markets in different countries. However, they conducted the causality in mean tests but not the causality in variance tests. This study assesses the co-integration and causal relations among seven developed Asian markets, i.e Tokyo, Hongkong, Korea, Taiwan, Shanghai, Singapore, and Kuala Lumpur stock exchanges, using more frequent time series data. It employs the recently developed techniques for investigating unit roots, co-integration, time-varying volatility, and causality in variance. For estimating portfolio market risk, this study employs Value-at-Risk with delta-normal approach. The results show whether fund managers would be able to diversify their portfolio in these developed stock markets either in long run or short run.Risk Management, Causality, Co-integration, Asian Stock Markets

Análisis de la relación entre el compromiso de marca, la confianza en la marca y la ciudadanía corporativa de las marcas en la industria de servicios

Brands are strategic prerequisites that help organizations to generate more value for customers and sustainable competitive advantage among competitors. Employee behavior is crucial for brand success because the service provided by employees is located in the interface between brand commitment and brand delivery. As a result, an increasing number of banks is encouraging their employees to be more competitive and improve the efficacy and stability of the banking sector. The main objective of this work is to investigate the relationships among brand commitment, brand trust, and brand citizenship behavior in private banks. The data were collected from 249 respondents from private banking companies in Indonesia. Structural equation modelling was used to test research hypotheses, and a highly reliable and valid model was developed. The findings indicate that brand commitment has a positive effect on brand citizenship behavior, while brand trust is not a predictor of brand citizenship behavior. Furthermore, there is a correlation between brand commitment and brand trust. These findings provide useful insight and suggestions for managers in the banking sector.Una marca es un prerrequisito estratégico que ayuda a las organizaciones a generar más valor para sus clientes y una ventaja competitiva sostenible entre sus competidores. El comportamiento de los empleados es crucial para el éxito de la marca porque el servicio que prestan se encuentra en la interfaz entre el compromiso de la marca y el cumplimiento de la misma. Un número creciente de bancos ofrece la oportunidad de alentar a las empresas a ser más competitivas y mejorar la eficacia y la estabilidad de la banca. El objetivo principal de este artículo es estudiar las relaciones entre el compromiso de marca, la confianza en la marca y la ciudadanía corporativa de las marcas en bancos privados. Los datos fueron recolectados de 249 encuestados en compañías de banca privada en Indonesia. Se utilizó el modelado de ecuaciones estructurales para probar la hipótesis de investigación y se desarrolló un modelo con alta confiabilidad y validez. Los resultados indican que el compromiso de la marca tiene un efecto positivo en la ciudadanía corporativa de la marca, mientras que la confianza en la marca no es un predictor de dicha ciudadanía. Además, existe una correlación entre el compromiso de la marca y la confianza en la marca. Estos hallazgos proporcionan ideas y sugerencias útiles para la gestión corporativa en el sector bancario

Greece Financial Crises and Sukuk Markets: Experience From Gulf Countries

Many studies have been carried out to investigate the impact of recent European financial crises on the performance of financial instruments in other regions. Nevertheless, there have been insufficient studies explaining such impact on Islamic financial instrument. In particular, whether Greece Financial crises have affected performance of Sukuk traded in Gulf Markets needs to be answered. This study is aimed at empirically investigating the causality of credit and liquidity risk on Sukuk Markets in Gulf economies in the period of Greece Financial Crises. We analyzed the Sukuk data by employing Granger casuality test, with all the associated vector autoregression model procedures. Our findings show that Bahrain sukuk market is cointegrated with those of Qatar and UAE in the full period observation. Meanwhile, during the crisis, Qatar Sukuk market is cointegrated with those of UAE Bahrain. We also find that Bahrain Sukuk triggers market shock in both Qatar and UAE Sukuk markets. Bahrain consistently causes changes in price and spread of UAE Sukuk, both in the context of the full period and the during-crisis period.DOI: 10.15408/aiq.v9i1.373

Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange

For both risk management and portfolio selection purposes, modeling the linkage across financial markets is crucial, especially among neighboring stock markets. In investigating the dependence or co-movement of three or more stock markets in different countries, researchers frequently use co-integration and causality analysis. Nevertheless, they conducted the causality in mean tests but not the causality in variance tests. This paper examines the co-integration and causal relations among three major stock exchanges in Southeast Asia, i.e Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange. It employs the recently developed techniques for investigating unit roots, co-integration, time-varying volatility, and causality in variance. For estimating market risk of portfolio, this paper employs Value-at-Risk with delta-normal approach