African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 4164

Full Length Research Paper

Cross market value-at-risk evaluations in emerging markets

Chin Wen Cheong1*, Zaidi Isa2 and Abu Hassan Shaari Mohd Nor3
1Research Centre of Mathematical Sciences, Multimedia University, 63100 Cyberjaya, Selangor, Malaysia. 2Pusat Pemodelan dan Analisis Data (DELTA), Faculty of Science and Technology, Universiti Kebangsaan Malaysia, 46100 Bangi, Selangor, Malaysia. 3Faculty of Economics and Management, Universiti Kebangsaan Malaysia, 46100 Bangi, Selangor, Malaysia.  
Email: [email protected]

  •  Accepted: 22 February 2011
  •  Published: 30 September 2011

Abstract

This study investigated the importance of shock and volatility dynamic transmissions in cross-market hedging and market risk evaluations. A trivariate asymmetric time-varying model is used to reveal the hidden dynamics price changes and volatility correlations among the selected Southeast Asian emerging markets after the Asian financial crisis. The results indicated that the equity markets are sharing the common information (shock) that transmitted among each other. Finally, the estimated dynamic volatility correlations are employed in various cross-market value-at-risk evaluations.

 

Key words: Multivariate ARCH, structural change, value at risk.