This paper examines the relationship between currency futures returns by employing a test for non-linear causality. The results indicate evidence of unidirectional non-linear causality relationship in four cases. However, after filtering the returns using a GARCH (1,1) model we find...

This study tests whether the behaviour of daily stock returns for the sample of three banks and the composite index in the Malaysian market are nonlinear dependence. Using three nonlinear testing procedures, the study suggests nonlinearity in the return series for all cases. The cause for the...

The study provides evidence of the nature of the volatility transmission for daily currency futures contracts traded at the International Monetary Market (IMM) and the Singapore Exchange (SIMEX). The samples of the German mark currency futures contracts and the Japanese yen currency futures...

A myriad of empirical studies conducted in developed markets indicate the existence of small-firm effect. This study is undertaken to investigate the presence of firm effect in emerging markets such as Malaysia Bourse (formerly known as Kuala Lumpur Stock Exchange). Applying the method used by...

In this study we apply time-series analysis to examine empirically the contemporaneous as well as lagged relation between stock index returns volatility and exchange rates returns volatility during Asian economic crisis. The generalized autoregressive conditional heteroscedasticity (GARCH 1,1)...

We examine the dynamics relationship between stock prices and economic variables in six Asian-Pacific selected countries of Malaysia, Korea, Thailand, Hong Kong, Japan, and Australia. The monthly data on stock price indices, foreign exchange rates, consumer price index and industrial production...

The conditional variance for five banks stock returns traded on the Kuala Lumpur Stock Exchange and the financial index is modeled using a GARCH model with the number of volume traded as a regressor in the conditional variance equation. The empirical finding is consistent with the notion that...