Validation of Global Financial Crisis on Bursa Malaysia Stocks Market Companies via Covariance Structure | Science Publications

American Journal of Applied Sciences

Low Huey Theng¹  Suzilah Ismail¹  Zurni Omar¹  Shamshuritawati Sharif¹ 

关键词: Covariance Test;    Degree Centrality;    High Dimension;    Optimal Minimum Spanning Tree;    Stock Market;   

DOI  :  10.3844/ajassp.2016.1091.1095

学科分类：自然科学（综合）

来源: Science Publications

【 摘 要 】

The global financial crisis of 2007 to 2009 affects the economic development around the world. It started with US in 2007 and followed by Malaysia in 2008. The purpose of this study is to validate the impact before and beginning of the crisis on seventy seven Bursa Malaysia stocks market companies. Two data sets of 2007 and 2008 were used in testing the differences of the covariance structures by using a new test known as S* statistic that been developed for high dimensional data set such as the stock market. The test revealed that the covariance structure of 2007 and 2008 significantly different from each other. Thus, Optimal Minimum Spanning Tree (OMST), degree centrality measure and network topology were implemented in identifying the companies that contribute to the different covariance structure. The finding shows that HWAN is the most dominant for 2007 and MRES for 2008. The rise or fall (instability) of HWAN and MRES gave large impact on the stability structure of the stock market. The global financial crisis in 2008 affected HWAN but HONG seems to maintain in the network.

【 授权许可】

Unknown