Omay, Tolga (2010): A Nonlinear New Approach to Investigating Crisis: A Case from Malaysia.

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Abstract
In this paper, we have investigated the effects of Asia 97 crisis on Malaysian stock exchange market by using a nonlinear approach which gives a detailed analysis with respect to linear counterparts. Specifically, we are using generalized impulse response function (GIRF) in order to see the effects of crisis on stock indices. In order to employ GIRF analysis, we need further investigation on potential nonlinearities in conditional mean and variance equation for Malaysia stock market. Specifically, we use STARSTGARCH family models for modeling daily returns of the Investable and NonInvestable Malaysia stock indices, covering the period 1995.06.302003.09.05. The analysis of this paper shows that individual markets of Malaysia have strongly been affected from the Asia 97 crisis. In addition, the Asia 97 crisis has increased the variability of the Malaysia stock market and affected foreign investors more than the domestic investors.
Item Type:  MPRA Paper 

Original Title:  A Nonlinear New Approach to Investigating Crisis: A Case from Malaysia 
Language:  English 
Keywords:  STARSTGARCH, Generalized Impulse Response Function. 1997 Asia Crisis, stock markets 
Subjects:  G  Financial Economics > G1  General Financial Markets C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes 
Item ID:  20738 
Depositing User:  Tolga Omay 
Date Deposited:  13. Jul 2010 12:31 
Last Modified:  14. Feb 2013 03:29 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/20738 