Abstract
Volatility of stock market plays important roles in investment world. Since the export of cocoa has a great contribution in increasing Malaysia’s revenue, it is important to know and understand the cocoa beans export volatility and the relationship with the stock market (KLCI). For that purpose, the well-known ARCH and GARCH family models were employed to investigate the relationship between volatility models and stock market (KLCI). These two models were also used to analyze empirically the volatility model of cocoa beans export. From the result, it showed that a unidirectional relation exists between stock market (KLCI) and cocoa bean volatility. The stock market (KLCI) had a causal effect on cocoa bean volatility in a short run.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Similar content being viewed by others
References
Abdel, H., Awad, A., Hasanov, A., Idris, N., Abdullah, A. M., Mohamed Arshad, F., et al., (2009). Supply and demand model for the Malaysian cocoa market. Germany: University Library of Munich.
Assis, K., Amran, A., & Remali, Y. (2010). Forecasting cocoa bean prices using univariate time series models. Researchers World, 1(1), 71.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(1), 307–327.
Engle, R. (2001). GARCH 101: The use of ARCH/GARCH models in applied econometrics. Journal of Economic Perspectives, 15(4), 157–168.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2018 Springer Nature Singapore Pte Ltd.
About this paper
Cite this paper
Muhamad, S.N.N., Ibrahim, I., Jusoh@Hussain, N., Mansor, S.H., Ibrahim, W.J.W. (2018). Modeling Relationship Between Cocoa Beans Commodity Export Volatility and Stock Market Index (KLCI). In: Saian, R., Abbas, M. (eds) Proceedings of the Second International Conference on the Future of ASEAN (ICoFA) 2017 – Volume 2. Springer, Singapore. https://doi.org/10.1007/978-981-10-8471-3_64
Download citation
DOI: https://doi.org/10.1007/978-981-10-8471-3_64
Published:
Publisher Name: Springer, Singapore
Print ISBN: 978-981-10-8470-6
Online ISBN: 978-981-10-8471-3
eBook Packages: Social SciencesSocial Sciences (R0)