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首页> 外文期刊>Journal of advances in management research >The effect of GST announcement on stock market volatility: evidence from intraday data
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The effect of GST announcement on stock market volatility: evidence from intraday data

机译：GST公告对股票市场波动的影响：来自盘中数据的证据

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Purpose - The purpose of this paper is to examine the effect of GST announcements (pre and post) on Malaysian stock market index. This study also utilised intraday data to look into intraday market volatility post-GST announcement. Design/methodology/approach - Both daily closing prices and intraday data of different frequencies are used to capture the extent of stock market volatility as well as the subsided period of the volatility. The period of study ranges from June 2009 to November 2016 and empirical estimation is based on the GARCH (1, 1) model for the pre- and post-GST announcements. Findings - Persistent market volatility in the post-GST announcement is empirically recorded and the volatility is higher in the post-GST announcement than the pre-GST announcement. This demonstrates the unwillingness and reaction of the market towards the tax policy implementation. Market expectation on GST implementation towards the increase in the cost of living following the increase in the prices of goods and services in Malaysia is empirically supported in the post-GST announcement. Practical implications - The finding on this study is consistent with the expectation of the market that GST implementation will increase the price of the goods and services and hence increase the cost of living. This is supported by a noticeable increase in the stock market volatility in the post-GST announcement. Although GST announcement could be classified as a scheduled announcement, unwillingness to accept the policy prevails as shown by the increase in the stock market volatility. Originality/value - The effects of Asian and global financial crisis are the major focus of past studies on stock market volatility, whereas this study examines and highlights the effect of the GST announcement on stock market volatility and the use of intraday data to further examine the nature of the volatility.
机译：目的 - 本文的目的是审查GST公告（前后）对马来西亚股市指数的影响。本研究还利用盘中数据来查明华务贸委后期市场波动性。设计/方法/方法 - 每日收盘价格和不同频率的盘中数据都用于捕捉股票市场波动的程度以及波动性的趋势。 2009年6月至2016年11月的学习范围和实证估计基于GARCH（1,1）模型，以获得前期和后期后公告。调查结果 - 经验经验记录了GST公告中的持续市场波动性，并且在GST公告后，波动性高于GST公告。这证明了市场对税收政策实施的不情愿和反应。市场预期对GST实施的预期实现在马来西亚的商品和服务价格上涨的增加后，在GST公告后经验支持。实际意义 - 本研究的发现与市场的期望一致，即GST实施将增加商品和服务的价格，从而增加生活费用。这是在GST公告后股票市场波动的显着增加得到支持。虽然GST公告可以被归类为预定的公告，但不愿接受该政策的普遍存在股票市场波动的增加所表明。原创性/价值 - 亚洲和全球金融危机的影响是过去研究股市波动研究的主要焦点，而本研究审查并突出了GST公告对股票市场波动性的影响以及供风盘数据进一步审查波动性的性质。

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