Causal Relationship between the Volatility of Stock Market and Selected Macroeconomic Variables: Case of Malaysia

Nikmanesh, Lida; Nor, Abu Hassan Shaari Md; Sarmidi, Tamat; Janor, Hawati

doi:10.17576/jem-2014-4801-12

Cited by 1 publication

(1 citation statement)

References 25 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Moreover, Janor et al (2010) discovered the Kuala Lumpur Composite Index (KLCI), industrial production and money supply were the 'long run forcing' variables for the inflation as the long-run relationship do exist between the variables when inflation is the dependent variables. Recent studies by Nikmanesh et. al (2014) establishes that it was important to maintain the stability of the Malaysian financial market as any weakness in the macroeconomic policies may affect the performance of the stock market in the future.…”

Section: Introductionmentioning

confidence: 99%

Revisiting Relationship Between Malaysian Stock Market Index and Selected Macroeconomic Variables Using Asymmetric Cointegration

Hamidi

Khalid²,

Karim³

2018

JEM

View full text Add to dashboard Cite

This article reexamines the relationship of several macroeconomics variables with Malaysia Stock Market Index, KLCI. The paper applies Johansen (1988) procedure and vector error correction model (VECM) for symmetric cointegration, while threshold cointegration test proposed by Enders and Siklos (2001) is used for asymmetric cointegration. Using quarterly time series data set spanning from 1990 to 2015, the findings show the presence of the long-run relationship between KLCI and the macroeconomics variable i.e., industrial production index, inflation rate, exchange rate and money supply. We also found evidence for asymmetric adjustment of the stock price index towards its long-run values. These results have particularly important policy implications, concerning the formulation of macroeconomic policy to achieve financial stability and thus contribute to the further development of Malaysian Stock Market Index.

show abstract

Section: Introductionmentioning

confidence: 99%

Revisiting Relationship Between Malaysian Stock Market Index and Selected Macroeconomic Variables Using Asymmetric Cointegration

Hamidi

Khalid²,

Karim³

2018

JEM

View full text Add to dashboard Cite

show abstract

Causal Relationship between the Volatility of Stock Market and Selected Macroeconomic Variables: Case of Malaysia

Abstract: This study examines the dynamic relationship between the volatility of stock market and macroeconomics ' volatility

Cited by 1 publication

References 25 publications

Revisiting Relationship Between Malaysian Stock Market Index and Selected Macroeconomic Variables Using Asymmetric Cointegration

Revisiting Relationship Between Malaysian Stock Market Index and Selected Macroeconomic Variables Using Asymmetric Cointegration

Contact Info

Product

Resources

About