أثر عوائد الأسواق المالية على التقلبات الشرطية لدول شرق آسيا : دراسة حالة : اندونيسيا ماليزيا و سنغافورة

الملخص EN

The purpose of this study is to understand and analyze the impact of financial market returns on the conditional volatility of East Asian countries, including Indonesia, Malaysia, Singapore, 2014-2020.

Using GARCH model.

In addition to studying the conditional correlation of these markets, the DCC-GARCH model is used.

The study found that market returns did not affect the volatility of the markets conditional among themselves.

Except the Singapore market had an impact on the fluctuations of the Indonesian market.

The study found that there is a dynamic conditional correlation between Singapore and Indonesia.