IDEAS home Printed from https://ideas.repec.org/a/rfh/bbejor/v13y2024i2p14-21.html
   My bibliography  Save this article

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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Muhammad Asim & Waseem Sajjad & Suresh Kumar & Hyder Ali, 2024. "Time and Frequency Domain Analysis of Volatility Spillovers across Financial Asset Classes in Malaysia," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 13(2), pages 14-21.
    • Handle: RePEc:rfh:bbejor:v:13:y:2024:i:2:p:14-21
    DOI: https://doi.org/10.61506/01.00288
    as

    Download full text from publisher

    File URL: https://bbejournal.com/BBE/article/view/792/756
    Download Restriction: no
    File URL: https://bbejournal.com/BBE/article/view/792
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.61506/01.00288?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rfh:bbejor:v:13:y:2024:i:2:p:14-21. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dr. Muhammad Irfan Chani (email available below). General contact details of provider: https://edirc.repec.org/data/rffhlpk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.