Time and Frequency Domain Analysis of Volatility Spillovers across Financial Asset Classes in Malaysia

Authors

  • Muhammad Asim Sukkur IBA University, 65200 Sukkur, Sindh, Pakistan Author
  • Waseem Sajjad Sukkur IBA University, 65200 Sukkur, Sindh, Pakistan Author
  • Suresh Kumar Sukkur IBA University, 65200 Sukkur, Sindh, Pakistan Author
  • Hyder Ali Sukkur IBA University, 65200 Sukkur, Sindh, Pakistan Author

DOI:

https://doi.org/10.61506/01.00288

Keywords:

Malaysian Financial Assets, Volatiltiy spillover, Connectedness, Time and frequency Domain

Abstract

This paper investigates the connectness and spillovers among classes of financial asset in Malaysia in the post-decade of global financial crisis. First, the Diebold & Yilmaz (2012)’s time-domain analysis is applied with the spillover index reported at 10.7%. This implies a low level of connectedness but possible diversification among different asset classes across time. Furthermore, most of the assets except foreign exchanges, are net reciever of volatility. Second, the Barunik & Krehlik (2018)’s frequency-domain analysis reveals that, at higher frequencies, the degree of connectedness increases and, the net transmitter of volatility spillovers across financial markets is contingent on the frequency under consideration. By frequency domain, the role of Gold in long run from transmitter to receiver has emerged, and there is also increase in magnitude of spillover from oil prices. The findings are insightful for risk assessment and portfolio diversification.

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Published

2024-06-01

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Section

Articles

How to Cite

Asim, M. ., Sajjad, W. ., Kumar, S. ., & Ali, H. (2024). Time and Frequency Domain Analysis of Volatility Spillovers across Financial Asset Classes in Malaysia. Bulletin of Business and Economics (BBE), 13(2), 14-21. https://doi.org/10.61506/01.00288

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