Pulangan dan Variabiliti Pasaran Saham Rantau ASEAN: Satu Kajian

Ismail Ibrahim

Abstract


Kajian ini menunjukkan bahawa pasaran saham rantau ASEAN tidak saling bergantung antara satu sama lain. Perkembangan ekonomi yang berbeza antara negara-negara ini menghasilkan prestasi pasaran saham yang berbeza.Dengan demiklan pulangan dan variabilitl pulangan antara pasaran-pasaran ini dijangka berbeza. Dengan menggunakan data bulanan Indeks pasaran-pasaran
ini bagl tempoh antara 1/87 hingga 11/92 keputusan statistik-Z dan statlstik-F memang menunjukkan perbedzaan pulangan dan variabiliti. Di samping itu kajian ini Juga mendapati bahawa prestasi pulangan pasaran saham ASEAN tldak bergantung kepada risikonya.

ABSTRACT
This study shows that the stock markets of ASEAN regiOn are Independent of each other Differences in economic development lead to differences in the stock market performance with its return and variability are expected to be different. Using monthly data on indices of respective stock markets between 1/87 to 11/92, the result of Z-statistics and F -statistics shows that the return
and variability of these markets are significantly different. This study also shows that return performance of these markets is independent of their risk


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