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Developing an accurate forecasting model for electricity demand plays a vital role in maximising the efficiency of the planning process in the power generation industries. The time series data of electricity demand in Malaysia is highly volatile with seasonal characteristics. This study aims to evaluate the forecasting performance of the seasonal autoregressive integrated moving average (SARIMA) model with GARCH for weekly maximum electricity demand. The weekly maximum electricity demand data (in megawatt, MW) from 2005 to 2016 has been used for this study. The results show that SARIMA(1, 1, 0)(0, 1, 0)52--GARCH(1, 2) with generalized error distribution (GED) is the most appropriate model for forecasting electricity demand due to its parsimonious characteristic with low values of root mean square error (RMSE), mean absolute error (MAE) and mean absolute percentage error (MAPE) which are 644.1828, 523.8380 and 3.13%, respectively. The MAPE value of the proposed model which is less than 5% indicates that the SARIMA -- GARCH model is relatively good in forecasting electricity demand for the case of Malaysia data. In conclusion, the proposed model of SARIMA with GARCH has great potential and provides a promising performance in forecasting electricity demand with seasonal highly volatile characteristics. [ABSTRACT FROM AUTHOR]

Global economic policy uncertainty (GEPU) is one of important phenomena in the global economy; it can impact on the overall economic performance and stock market performance, regardless of the status of the world economy. Thus, this paper empirically investigates the impact of global economic policy uncertainty on the Malaysian stock market over the period from 10:2003 to 2017:03. Using the GARCH model, the study demonstrates that global policy uncertainty affects the Malaysian stock market negatively. Similarly, the SVAR model also shows results consistent with the GARCH estimation. Nevertheless, the Markov switching estimation uncovers that global policy uncertainty has negative impacts on stock market performance in both low and high volatile market states. The impact is, however, greater during the high volatile state. Hence, the relationship between global economic policy uncertainty and stock market returns tends to be asymmetric. The overall empirical results infer that global economic policy uncertainty has some implications for asset pricing. [ABSTRACT FROM AUTHOR]

Purpose: This study aims to investigate the volatility of conventional and Islamic indices and to explore the impact of the global financial crisis toward the volatility of both markets in Malaysia. Design/methodology/approach: The data consist of financial times stock exchange group (FTSE) Bursa Malaysia Kuala Lumpur Composite Index and FTSE Bursa Malaysia Hijrah-Shari'ah Index covering the period January 2008-October 2014. Generalized autoregressive conditional heteroskedasticity is used to find the volatility of the two markets and an ordinary least square model is then used to investigate the impact of the crisis toward the volatility of those markets. Findings: Interestingly, the result shows that Islamic index is less volatile during the crisis compared to the conventional index. Furthermore, the crisis is proven to significantly affect the volatility of conventional index in the short run and Islamic index in the long run. Originality/value: This study explores the volatility–financial crisis nexus, especially for the Islamic financial markets, which to the best of the author's knowledge, is still lacking empirical research which may improve the understanding upon this issue. [ABSTRACT FROM AUTHOR]

Purpose: The purpose of this paper is to examine the effect of GST announcements (pre and post) on Malaysian stock market index. This study also utilised intraday data to look into intraday market volatility post-GST announcement. Design/methodology/approach: Both daily closing prices and intraday data of different frequencies are used to capture the extent of stock market volatility as well as the subsided period of the volatility. The period of study ranges from June 2009 to November 2016 and empirical estimation is based on the GARCH (1, 1) model for the pre- and post-GST announcements. Findings: Persistent market volatility in the post-GST announcement is empirically recorded and the volatility is higher in the post-GST announcement than the pre-GST announcement. This demonstrates the unwillingness and reaction of the market towards the tax policy implementation. Market expectation on GST implementation towards the increase in the cost of living following the increase in the prices of goods and services in Malaysia is empirically supported in the post-GST announcement. Practical implications: The finding on this study is consistent with the expectation of the market that GST implementation will increase the price of the goods and services and hence increase the cost of living. This is supported by a noticeable increase in the stock market volatility in the post-GST announcement. Although GST announcement could be classified as a scheduled announcement, unwillingness to accept the policy prevails as shown by the increase in the stock market volatility. Originality/value: The effects of Asian and global financial crisis are the major focus of past studies on stock market volatility, whereas this study examines and highlights the effect of the GST announcement on stock market volatility and the use of intraday data to further examine the nature of the volatility. [ABSTRACT FROM AUTHOR]

This paper investigates a tale of two measures, which are market portfolio returns and exchange rate movements. The two measures are important risk factors which affect firm share returns. This study also demonstrates that the orthogonalized exchange rate exposure model is better at capturing the effects of exchange rate movements towards large Malaysian firm share returns. In addition to this, it was found that there were not significant differences in terms of number of exposed firms to exchange rate movements, when the Trade Weighted Index (TWI) and multi bilateral exchange rates were used, both in nominal and real terms. The study results also have shown that large Malaysian firms, including financial firms, were exposed to exchange rate movements regardless their level of foreign involvement. Interestingly, most of the exposed large firms are negatively affected when there is depreciation on home currency especially to the US Dollar (USD) and Japanese Yen (JPY). Even though the exchange rate volatility has failed to solve the exchange rate exposure puzzle among large firms in Malaysia, but the high level of sensitivity for most of the firm share returns to exchange rate volatility should not be ignored. Policymakers and financial managers should closely monitor the foreign exchange markets to mitigate the negative impact of exchange rate movements. Future research should also look into the possibility that the relationship between exchange rate movements and share returns is asymmetric. [ABSTRACT FROM AUTHOR]

Single Stock Futures (SSFs) was introduced in Bursa Malaysia on 28th April 2006. There have been many studies on derivative instruments in Malaysia; however, none is on SSFs. Various statistical methods have been used to analyse the SSFs and its spot returns, namely Descriptive Statistics, Unit Root test, VAR, Johansen and Juselius Co-integration test, Granger Causality test, Variance Decomposition test, VECM, and GARCH model. This study analyses the SSFs and spot returns of eight companies listed in Bursa Malaysia. It found that Berjaya Sports Toto Bhd and Genting Bhd have no long-run and short-run causality (Genting Bhd has bi-directional causality) while AirAsia Bhd and AMMB Holdings Bhd's spot returns' volatility decreased after the introduction of SSFs; it increased in the other seven companies. In addition, only AMMB Holdings Bhd futures return did not affect its spot return. Bursa Malaysia Bhd and RHB Capital Bhd spot returns lead their futures returns. [ABSTRACT FROM AUTHOR]

The present study examines the relationship between stock market volatility and the volatility of macroeconomic variables in Malaysia and Indonesia. The relationship is examined through the analysis of the monthly data concerning stock indices and macroeconomic variables in Malaysia and Indonesia for the period of 1998 until 2013. Firstly, in order to estimate the conditional volatility of each series, GARCH family models are employed. Secondly, a Seemingly Unrelated Regression (SUR) is utilized to determine whether any significant relationship exists between stock volatility and macroeconomic volatility. The results of the present study provide evidence of a significant relationship between the volatility of stock markets and macroeconomic variables in both countries. In particular, the results indicate that macroeconomic volatility and trade openness explain 81% of stock market volatility in Malaysia; and 75% of stock market volatility in Indonesia. The results of the present study provide more precise information for investors making decisions relating to asset allocation. Additionally, the findings are beneficial for managers and policy makers seeking to reduce the negative effects of stock market volatility on economic performance. [ABSTRACT FROM AUTHOR]

The exercise of modelling the risk and volatility of corporate bonds is undertaken through credit spreads analysis, a practice normally used in bond pricing and risk management. Despite the rapid growth of the Malaysian bond market, very few studies on the behaviour of credit spreads, and whether its volatility is influenced by external shocks have been conducted. This paper aims to unveil the trends and behaviour of credit spreads during the 2007/2008 global financial crisis. It examines the credit spreads of the Malaysian bond market by modelling the conditional variance and asymmetric response to past shocks of the long and short term investment and non-investment grade papers. A generalised autoregressive conditional heteroscedasticity (GARCH) is applied to 10 different ratings and maturity over the period ranging from 1 August 2005 to 31 December 2011. More specifically, modelling the asymmetry via the threshold GARCH (TARCH) and exponential GARCH (EGARCH) models meets the aim of this paper which examines the asymmetric response to past shocks of the Malaysian bond market during the 2007/2008 global financial crisis. The empirical analysis of this paper provides evidence of strong time-varying conditional variance of the Malaysian bond credit spreads with the expectation of future rate being the main determinant for credit spreads. Additionally, the evidence also indicates that past news or shocks as well as forecast variance are important in explaining the volatility of the spreads. The insignificant TARCH and EGARCH coefficients, nonetheless, indicate that there is no evidence of asymmetric response to past shocks in the volatility of bond spreads. [ABSTRACT FROM AUTHOR]