Cross-markets risk management analysis in the emerging Malaysian sectoral markets

Abstract

This study examines the transmission of price changes and volatility among the Malaysian economic barometer (FTSE Bursa Malaysia Kuala Lumpur Composite Index-FBMKLCI) and four sectoral markets after the Asian financial crisis. In order to reveal the hidden dynamics of interactions among the sectoral markets, the pair-wise markets which consist of CI-IND, CIPLN, CI-PRP and CI-FIN are evaluated using a bivariate asymmetric BEKK model. The major intension of this study focuses on the crossmarket hedging and market risk evaluations in term of shocks and volatility.