Subprime crisis and the volatility of share prices of sectoral economy in Bursa Malaysia [Krisis subprima dan kemeruapan harga saham mengikut sektor ekonomi di Bursa Malaysia]

This paper aims to examine the volatility of stock prices by sub-sectors of the economy in the malaysian bourse,and also to identify the sub-sectors that have persistence volatility. time series econometrics methods namely arch and garch models are used in identifying the level of stock prices volatility in three periods,that is,before,during and after the subprime crisis. the stock prices of financial sector showed a persistency of volatility for the period of pre and during crisis. while,the stock prices of industrial production sector is relatively the most stable than others in the period of during and post-crisis. the results using eg arch model revealed that stock prices of construction sector has a persistency of volatility during the crisis periods. the policy implication of this study shows that the potential investors should consider to invest in the industrial production sector because the stock prices is relatively more stable than others sector. investment strategy to diversify investment portfolio can reduce the element of risk and generate returns.