ISSN: 2222-6990
Open access
As the series of COVID-19 outbreaks was reported and the declaration of this disease as pandemic, the global financial market, including Malaysia has affected. The uncertainty of this pandemic has led to larger volatility and an appropriate time series model are required to guarantee that the market players made a wise investment decision. Therefore, this study aims to investigate the movement of FTSE Bursa Malaysia stock indices and determine the appropriate model for the sample period. We included the daily data from January 2020 to August 2021 to overview the stock market volatility and Autoregressive Integrated Moving Average (ARIMA) was applied to determine a reliable model. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models then was fitting in when the presence of heteroscedasticity in the data set was discovered. The result has shown that ARIMA (1,2,1) – GARCH (1,1) is the fitted model and the volatility was well-determined during the pandemic. In addition, the existence of leverage effect was confirmed using Exponential GARCH (EGARCH) and a positive risk premium was detected using Symmetric Mean GARCH (GARCH-M). Finally, it is recommended for researchers to use an extended sample period to see the behaviour of the stock market when Malaysia vaccination program has completed.
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In-Text Citation: (Omar et al., 2021)
To Cite this Article: Omar, N. A., Mad, S., & Sarudin, E. S. (2021). Determining the Appropriate Time Series Model for the Malaysia Stock Price during Continuous Pandemic Waves: Case of COVID-19. International Journal of Academic Research in Business and Social Sciences, 11(10), 962 – 974.
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