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

American Journal of Applied Sciences

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

Shamshuritawati Sharif, Suzilah Ismail, Zurni Omar and Low Huey Theng

DOI : 10.3844/ajassp.2016.1091.1095

American Journal of Applied Sciences

Volume 13, Issue 11

Pages 1091-1095

Abstract

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.

Copyright

© 2016 Shamshuritawati Sharif, Suzilah Ismail, Zurni Omar and Low Huey Theng. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.