UNCERTAINTY AND MALAYSIAN FINANCIAL MARKETS
This study examines the long run cointegration relationship of two uncertainty indices namely the Global Economic Policy Uncertainty (GEPU) and Geopolitical Risk (GPR) on the returns of Malaysian stock and commodity market for the period from January 2000 to December 2022. The Malaysian stock mar...
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| Format: | Article |
| Language: | English |
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Universiti Teknologi MARA, Negeri Sembilan
2023-10-01
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| Series: | Journal of Academia |
| Subjects: | |
| Online Access: | https://myjms.mohe.gov.my/index.php/joa/article/view/23897 |
| _version_ | 1797202322647941120 |
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| author | Joel Raj Francis |
| author_facet | Joel Raj Francis |
| author_sort | Joel Raj Francis |
| collection | DOAJ |
| description | This study examines the long run cointegration relationship of two uncertainty indices namely the
Global Economic Policy Uncertainty (GEPU) and Geopolitical Risk (GPR) on the returns of Malaysian
stock and commodity market for the period from January 2000 to December 2022. The Malaysian stock
market is represented by the Bursa Malaysia Kuala Lumpur Composite Index (KLCI) whilst the
Malaysian commodity market is represented by the Bursa Malaysia Crude Palm Oil Futures (FCPO).
The Autoregressive Distributed Lag (ARDL) approach is used to analyze the possible long-run
cointegration between the uncertainty indices and the stock and commodity market’s return. Our
findings show that GEPU has a significant impact on the stock market and commodity market returns.
We discover that GEPU has a significantly negative impact on the returns of the stock and commodity
market over the long run. GPR, on the other hand, positively affects the return of stock market and
negatively affects the return of commodity market in the long run. According to the findings, it is
strongly advised that investment managers and investors in the Malaysian stock and commodity markets
pay greater attention to the volatility of GEPU and GPR both in the short run and in the long run in
order to control the risk of return in the stock and commodity market. In addition, policymakers should
be strongly encouraged to keep a careful eye on the movement of the GEPU and GPR index, since this
indicator is a significant factor in determining the returns of the Malaysian financial markets. |
| first_indexed | 2024-03-11T15:55:55Z |
| format | Article |
| id | doaj.art-6fa3e8fe190542a8aff71c1e912d3b7a |
| institution | Directory Open Access Journal |
| issn | 2289-6368 |
| language | English |
| last_indexed | 2024-04-24T08:01:36Z |
| publishDate | 2023-10-01 |
| publisher | Universiti Teknologi MARA, Negeri Sembilan |
| record_format | Article |
| series | Journal of Academia |
| spelling | doaj.art-6fa3e8fe190542a8aff71c1e912d3b7a2024-04-17T16:36:02ZengUniversiti Teknologi MARA, Negeri SembilanJournal of Academia2289-63682023-10-0111296103UNCERTAINTY AND MALAYSIAN FINANCIAL MARKETSJoel Raj Francis0Labuan Faculty of International Finance Universiti Malaysia Sabah, Labuan International Campus, Jalan Sungai Pagar, 87000, Federal Territory of LabuanThis study examines the long run cointegration relationship of two uncertainty indices namely the Global Economic Policy Uncertainty (GEPU) and Geopolitical Risk (GPR) on the returns of Malaysian stock and commodity market for the period from January 2000 to December 2022. The Malaysian stock market is represented by the Bursa Malaysia Kuala Lumpur Composite Index (KLCI) whilst the Malaysian commodity market is represented by the Bursa Malaysia Crude Palm Oil Futures (FCPO). The Autoregressive Distributed Lag (ARDL) approach is used to analyze the possible long-run cointegration between the uncertainty indices and the stock and commodity market’s return. Our findings show that GEPU has a significant impact on the stock market and commodity market returns. We discover that GEPU has a significantly negative impact on the returns of the stock and commodity market over the long run. GPR, on the other hand, positively affects the return of stock market and negatively affects the return of commodity market in the long run. According to the findings, it is strongly advised that investment managers and investors in the Malaysian stock and commodity markets pay greater attention to the volatility of GEPU and GPR both in the short run and in the long run in order to control the risk of return in the stock and commodity market. In addition, policymakers should be strongly encouraged to keep a careful eye on the movement of the GEPU and GPR index, since this indicator is a significant factor in determining the returns of the Malaysian financial markets.https://myjms.mohe.gov.my/index.php/joa/article/view/23897uncertaintystockcommodityardlmalaysia |
| spellingShingle | Joel Raj Francis UNCERTAINTY AND MALAYSIAN FINANCIAL MARKETS Journal of Academia uncertainty stock commodity ardl malaysia |
| title | UNCERTAINTY AND MALAYSIAN FINANCIAL MARKETS |
| title_full | UNCERTAINTY AND MALAYSIAN FINANCIAL MARKETS |
| title_fullStr | UNCERTAINTY AND MALAYSIAN FINANCIAL MARKETS |
| title_full_unstemmed | UNCERTAINTY AND MALAYSIAN FINANCIAL MARKETS |
| title_short | UNCERTAINTY AND MALAYSIAN FINANCIAL MARKETS |
| title_sort | uncertainty and malaysian financial markets |
| topic | uncertainty stock commodity ardl malaysia |
| url | https://myjms.mohe.gov.my/index.php/joa/article/view/23897 |
| work_keys_str_mv | AT joelrajfrancis uncertaintyandmalaysianfinancialmarkets |