Relationship between Iran, USA, Turkey and Malaysia Stock Markets in a Multivariate GARCH Model
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Relationship between Iran, USA, Turkey and Malaysia Stock Markets in a Multivariate GARCH Model

Authors
Abstract
This paper using a Multivariate Generalized Autoregressive Conditional Hetroscedasticity (MGARCH) model has examined the nature of interaction between Iran, USA, Turkey and Malaysia Stock Markets. The results based on weekly data spanning from October 1997 to March 2010 indicate there are no significant effects between stock market in Iran and the other stock markets. Given a low degree of common time-varying co-volatility among these four countries, investors will be highly likely to benefit reduction of risk if they diversify their financial portfolio with stocks from these four countries.
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