English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Studies on dependence between stock markets are important because of their implications on the process of decision-making in investment. Many previous studies measure the dependence between markets using static copula. However, in recent years, time-varying copula has been used as an alternative for measuring dependence due to its capability of capturing time-varying dependence between markets. This study uses both static and time-varying copulas to measure the dependence structure between Malaysia and major stock markets (US, UK and Japan) based on the sample data from year 2007 Q1 until year 2017 Q3. The results reveal that the best model for all pairs of indices is the time-varying SJC copula, which also reveals that the Malaysia-US pair has the weakest dependence structure compared to other pairs. In terms of lower and upper tails, the Malaysia-UK and the Malaysia-Japan pairs have the strongest dependence structure respectively. Evidence from this research suggests that diversifications involving Malaysia and US stock markets are not effective.

Authors: Nurul Hanis Aminuddin Jafry ; Ruzanna Ab Razak ; Noriszura Ismail