Sains Malaysiana 49(8)(2020): 2023-2034

http://dx.doi.org/10.17576/jsm-2020-4908-25

Ukuran Kebersandaran bagi Pulangan Lima-Minit Berbanding Pulangan Harian menggunakan Kopula Statik dan Dinamik

(Dependence Measure of Five-Minutes Returns Compared to Daily Returns using Static and Dynamic Copulas)

NURUL HANIS AMINUDDIN JAFRY¹*, RUZANNA AB RAZAK² & NORISZURA ISMAIL¹

¹Jabatan Sains Matematik, Fakulti Sains dan Teknologi, Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor Darul Ehsan, Malaysia

²Economics and Quantitative Methods Unit, Faculty of Management, Multimedia University, 63100 Cyberjaya, Selangor Darul Ehsan, Malaysia

Diserahkan: 22 Januari 2020/Diterima: 29 April 2020

ABSTRAK

Kajian tentang kebersandaran antara pasaran saham adalah penting kerana kemampuannya memberi petunjuk dalam proses membuat-keputusan bagi mengatur strategi pelaburan. Kebanyakan kajian lepas mengukur kebersandaran antara pasaran saham menggunakan kopula statik. Walau bagaimanapun, sejak beberapa tahun kebelakangan ini, kopula dinamik telah digunakan sebagai kaedah alternatif bagi mengukur kebersandaran kerana keupayaannya untuk memodelkan kebersandaran masa-berubah antara pasaran saham. Kebanyakan kajian berkaitan kopula lebih tertumpu kepada korelasi data bivariat bagi pulangan harian atau mingguan atau bulanan untuk menjelaskan pergerakan bersama antara pasaran kewangan dan sebagai petunjuk kewangan bagi aspek pengurusan portfolio. Namun begitu, maklumat daripada data berfrekuensi rendah tidak lagi mampu untuk menampung aktiviti perdagangan berskala besar. Sebaliknya, data berfrekuensi tinggi mengandungi maklumat yang lebih banyak mengenai pasaran saham di samping berupaya mencerminkan kemeruapan pasaran saham dengan lebih tepat. Oleh itu, kajian ini bertujuan untuk membandingkan kebersandaran antara pulangan lima-minit (atau data frekuensi tinggi) dengan pulangan harian (atau data frekuensi rendah) bagi menentukan sama ada data-data ini mempunyai struktur kebersandaran yang sama atau berbeza. Kedua-dua model kopula statik dan dinamik diguna untuk memodelkan kebersandaran masa-berubah dalam data bivariat. Sebagai contoh berangka, data siri pulangan bivariat bagi pasaran Islam (FBMHS) dan konvensional (KLCI) di Malaysia diguna untuk memodelkan kebersandaran data harian dan kebersandaran data lima-minit. Keputusan kajian ini menunjukkan bahawa struktur kebersandaran antara pulangan harian dan logaritma kemeruapan terealis 5-minit adalah berbeza dan kepelbagaian portfolio bagi pasangan KLCI-FBMHS adalah tidak digalakkan. Akhir sekali, siri 5-minit dan model kopula SJC dinamik masing-masing dipilih sebagai set data dan model kebersandaran terbaik.

Kata kunci: FBMHS; KLCI; kopula dinamik; pulangan harian; pulangan lima-minit

ABSTRACT

Studies on dependence between stock markets are crucial because of their indications on the process of decision-making in investment strategies. Many previous studies measure the dependence between stock markets using static copula. However, in recent years, dynamic copula has been used as an alternative for measuring dependence due to its capability of capturing time-varying dependence between stock markets. Many copula studies have been focusing on examining the correlation of the bivariate data of daily, or weekly, or monthly returns to explain the co-movement between financial markets and for possible financial directions on portfolio management. However, information of low-frequency data is unable to accommodate large-scale trading activities. On the other hand, high frequency data contains more information about the stock market and has the ability to reflect stock market volatility more accurately. Therefore, this study aims to compare the dependence of the five-minutes returns (or high-frequency data) with the daily returns (or low-frequency data) to determine whether these data have similar or different dependence structures. Both static and dynamic copula models are utilized to capture the existence of time-varying dependence of the bivariate data. For numerical examples, the bivariate returns series of the Islamic (FBMHS) and conventional (KLCI) stock markets in Malaysia are utilized to model the dependence of the daily data and the dependence of the five-minute data. Findings of this paper shows that the structure of dependency between daily returns and 5-minute logarithmic realized variance are different, and portfolio diversification between KLCI-FBMHS pair is not advisable. Finally, the 5-minute series and dynamic SJC copula model are chosen as the best data set and the best dependency model, respectively.

Keywords: Daily returns; dynamic copula; FBMHS; five-minutes returns; KLCI

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*Pengarang untuk surat-menyurat; email: nurulhanis.fst@gmail.com