Paper Title :Dependent Structure of Gross Domestic Product and Inflow of Foreign Direct Investment from China in ASEAN Member Countries Using VARMA-GARCH Copula Approach

Author :Korawan Kongsirikorn, Chukiat Chaiboonsri, Anuphak Saosaovaphak

Article Citation :Korawan Kongsirikorn ,Chukiat Chaiboonsri ,Anuphak Saosaovaphak , (2021 ) " Dependent Structure of Gross Domestic Product and Inflow of Foreign Direct Investment from China in ASEAN Member Countries Using VARMA-GARCH Copula Approach " , International Journal of Management and Applied Science (IJMAS) , pp. 107-112, Volume-7, Issue-3

Abstract : Abstract - This study aims to investigate and analyse the construction of dependencies between gross domestic product (GDP) and inflow of foreign direct investment from China (FDI) on 5 ASEAN countries (ASEAN-5), namely, Singapore, Malaysia, Thailand, the Philippines, and Indonesia, by using each country's GDP data. The data of ASEAN-5 and FDI from China since 1996 until 2018 was used via the VARMA-GARCH method, considering the lowest error value in the form of copulas demonstration. The results of the study reveal that the data in the asymmetric copula group that the risk of direct investment from China occurred by gross domestic product volatility of each country has a massive impact. On the contrary, for any country in the symmetric copula group, the risk from gross domestic product volatility that is directly affected from foreign investment has a slight difference. Keywords - Gross domestic product; Inflow of Foreign direct investment; Copula

Type : Research paper

Published : Volume-7, Issue-3

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