Volatility Dynamics of Indonesian Stock Market and Time-Varying CAPM
Volatility Dynamics of Indonesian Stock Market and Time-Varying CAPM
장국현(건국대학교); Sulung Liyu Adhi Kasari(Konkuk University); 홍민구(건국대학교)
28권 4호, 33~55쪽
초록
Reaching stellar performances over Southeast Asia region in 2009 and Asia-Pacific region in 2010, Indonesian Stock Exchange becomes more interesting to study. This study tries to test the volatility dynamics and conditional CAPM using multivariate GARCH-M model with time varying correlations on Indonesian capital market over the period 1995～2010. Most of the estimated parameters of volatility dynamics are highly significant for size-sorted portfolios and the correlation between index and asset portfolio return may vary over time for both industrial and size-ranked portfolios. But the parameter for the price of risk, (λ), has not been statistically significant for both industrial and size-ranked portfolios in Indonesia.
Abstract
Reaching stellar performances over Southeast Asia region in 2009 and Asia-Pacific region in 2010, Indonesian Stock Exchange becomes more interesting to study. This study tries to test the volatility dynamics and conditional CAPM using multivariate GARCH-M model with time varying correlations on Indonesian capital market over the period 1995～2010. Most of the estimated parameters of volatility dynamics are highly significant for size-sorted portfolios and the correlation between index and asset portfolio return may vary over time for both industrial and size-ranked portfolios. But the parameter for the price of risk, (λ), has not been statistically significant for both industrial and size-ranked portfolios in Indonesia.
- 발행기관:
- 한국재무관리학회
- 분류:
- 경영학