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

Muhammad Asim, Waseem Sajjad, Suresh Kumar and Hyder Ali
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Muhammad Asim: Sukkur IBA University, 65200 Sukkur, Sindh, Pakistan
Waseem Sajjad: Sukkur IBA University, 65200 Sukkur, Sindh, Pakistan
Suresh Kumar: Sukkur IBA University, 65200 Sukkur, Sindh, Pakistan
Hyder Ali: Sukkur IBA University, 65200 Sukkur, Sindh, Pakistan

Bulletin of Business and Economics (BBE), 2024, vol. 13, issue 2, 14-21

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.

Keywords: Malaysian Financial Assets; Volatiltiy spillover; Connectedness; Time and frequency Domain (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:rfh:bbejor:v:13:y:2024:i:2:p:14-21

DOI: 10.61506/01.00288

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