Sains Malaysiana 35(1): 95-105 (2006)

 

Impak Pengenalan Instrumen Derivatif Terhadap Kemeruapan

PulanganSaham di Pasaran Semerta: Satu

Kajian Empirik di Bursa Malaysia

(The Impact of the Introduction of Derivatives Instruments on the Level of

Spot Market Volatility: An empirical Study on Bursa Malaysia)

 

 

Zaidi Bin Isa

Program Sains Aktuari

Pusat Pengajian Sains Matematik

Fakulti Sains dan Teknologi

43600 UKM Bangi, Selangor D.E. Malaysia

 

 

ABSTRAK

 

Kajian yang dijalankan ini bertujuan untuk melihat impak pengenalan instrumen derivatif ke atas kemeruapan pulangan saham di pasaran semerta. Kajian ini juga mengambil kira kesemua instrumen derivatif yang telah diperkenalkan di pasaran tempatan. Data harian bagi indeks komposit dan sebilangan indeks-indeks untuk setiap sektor akan digunakan di dalam kajian ini bagi mengkaji kesan secara keseluruhan dan mengikut sektor. Dengan menggunakan model GARCH terubahsuai iaitu dengan mengambil kira kesan perubahan struktur. Kajian ini mendapati wujudnya kesan yang bercampur-campur. Secara umumnya, pengenalan instrumen derivative mampu untuk mengurangkan tahap kemeruapan pulangan dan secara langsung menstabilkan pasaran saham. Tambahan pula, ia turut mempertingkatkan lagi kadar dan kualiti aliran maklumat ke dalam pasaran dan dengan demikian menjadikan pasaran saham bertambah efisien.

 

Kata kunci: Instrumen derivatif, Bursa Malaysia, GARCH, modified GARCH terubahsuai, kemeruapan, pasaran semerta

 

 

ABSTRACT

 

The purpose of this study is to examine the impact of introducing derivative instruments on the volatility of the cash markets. All derivative instruments which are traded in local markets are being considered. Daily returns for Composite and sectoral indices are used to investigate the overall impact as well as to the various sectors in the cash markets. Modified GARCH models with consideration of structural breaks are employed in this study and the results are mixed subject to the period of study. In general, the introduction of derivative instruments will decrease the level of volatility and this will indirectly stabilize the fluctuation of the stock market. Moreover; this will also enhance the speed and the quality of the information that flows into the stock markets. Hence, the market becomes more efficient.

 

Keywords: Derivatives instruments, bursa Malaysia, GARCH, modified GARCH, spot market, volatility

 

 

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