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Long Memory Properties and Asymmetric Effects of Emerging Equity Market: Evidence from Malaysia
tm286849655
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This paper examines the property of Malaysian equity market (KLSE) returns and volatility by adopting the FIGARCH and FIAPARCH model. It shows that the FIAPARCH outperforms the FIGARCH model in capturing both asymmetry effects and long memory in the conditional variance. This study provides empirical evidences on the long memory property of equity returns and volatility of an emerging equity market with reliable estimation models, which is currently lacking, particularly for emerging markets.

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International Islamic University Malaysia, P.O. Box 10,
53100 Kuala Lumpur
Kuala Lumpur
Malaysia

Full Name [1]
Turkhan Ali Abdul Manap
Email [1]
turkhan@iium.edu.my