Cointegration Between Macroeconomic Variables and Sectoral Indices Movement in Bursa Malaysia
This paper examines the cointegration between sectoral indices in Bursa Malaysia and the selected macroeconomic variables, namely, oil price (OP), gold price (GP), and exchange rate (ER), during the period 1995- 2014. The underlying series are tested by using Unit Root Test, Johansen Cointegra...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | Arabic |
| Published: |
Universiti Sultan Azlan Shah
2017-06-01
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| Series: | Global Journal Al-Thaqafah |
| Subjects: | |
| Online Access: | http://www.gjat.my/gjat062017/12320170701.pdf |
| _version_ | 1819240071635664896 |
|---|---|
| author | Jaafar Pyeman Ismail Ahmad |
| author_facet | Jaafar Pyeman Ismail Ahmad |
| author_sort | Jaafar Pyeman |
| collection | DOAJ |
| description | This paper examines the cointegration
between sectoral indices in Bursa Malaysia
and the selected macroeconomic variables,
namely, oil price (OP), gold price (GP), and
exchange rate (ER), during the period 1995-
2014. The underlying series are tested by
using Unit Root Test, Johansen Cointegration,
Vector Error Correction Model (VECM) and
Vector Autoregression (VAR). The results
indicate that sectoral indices, specifically in
technology sector, have long run cointegration
with macroeconomic variable as resulted from
the analysis of Johansen-Juselius (1990),
Multivariate Cointegration and Vector Error
Correction Model. Meanwhile, the short run
cointegration between macroeconomic variable
and several sectoral indices have also been
observed in Bursa Malaysia. |
| first_indexed | 2024-12-23T14:02:11Z |
| format | Article |
| id | doaj.art-92355bccae464c33bc8566e6a2c1d3cf |
| institution | Directory Open Access Journal |
| issn | 2232-0474 2232-0482 |
| language | Arabic |
| last_indexed | 2024-12-23T14:02:11Z |
| publishDate | 2017-06-01 |
| publisher | Universiti Sultan Azlan Shah |
| record_format | Article |
| series | Global Journal Al-Thaqafah |
| spelling | doaj.art-92355bccae464c33bc8566e6a2c1d3cf2022-12-21T17:44:17ZaraUniversiti Sultan Azlan ShahGlobal Journal Al-Thaqafah2232-04742232-04822017-06-0171192710.7187/GJAT12320170701Cointegration Between Macroeconomic Variables and Sectoral Indices Movement in Bursa MalaysiaJaafar Pyeman0Ismail Ahmad1Universiti Teknologi MARA, MalaysiaUniversiti Teknologi MARA, MalaysiaThis paper examines the cointegration between sectoral indices in Bursa Malaysia and the selected macroeconomic variables, namely, oil price (OP), gold price (GP), and exchange rate (ER), during the period 1995- 2014. The underlying series are tested by using Unit Root Test, Johansen Cointegration, Vector Error Correction Model (VECM) and Vector Autoregression (VAR). The results indicate that sectoral indices, specifically in technology sector, have long run cointegration with macroeconomic variable as resulted from the analysis of Johansen-Juselius (1990), Multivariate Cointegration and Vector Error Correction Model. Meanwhile, the short run cointegration between macroeconomic variable and several sectoral indices have also been observed in Bursa Malaysia.http://www.gjat.my/gjat062017/12320170701.pdfVector Error Correction Model;Vector Autoregression ModelMacroeconomic VariableSectoral Indices |
| spellingShingle | Jaafar Pyeman Ismail Ahmad Cointegration Between Macroeconomic Variables and Sectoral Indices Movement in Bursa Malaysia Global Journal Al-Thaqafah Vector Error Correction Model ;Vector Autoregression Model Macroeconomic Variable Sectoral Indices |
| title | Cointegration Between Macroeconomic Variables and Sectoral Indices Movement in Bursa Malaysia |
| title_full | Cointegration Between Macroeconomic Variables and Sectoral Indices Movement in Bursa Malaysia |
| title_fullStr | Cointegration Between Macroeconomic Variables and Sectoral Indices Movement in Bursa Malaysia |
| title_full_unstemmed | Cointegration Between Macroeconomic Variables and Sectoral Indices Movement in Bursa Malaysia |
| title_short | Cointegration Between Macroeconomic Variables and Sectoral Indices Movement in Bursa Malaysia |
| title_sort | cointegration between macroeconomic variables and sectoral indices movement in bursa malaysia |
| topic | Vector Error Correction Model ;Vector Autoregression Model Macroeconomic Variable Sectoral Indices |
| url | http://www.gjat.my/gjat062017/12320170701.pdf |
| work_keys_str_mv | AT jaafarpyeman cointegrationbetweenmacroeconomicvariablesandsectoralindicesmovementinbursamalaysia AT ismailahmad cointegrationbetweenmacroeconomicvariablesandsectoralindicesmovementinbursamalaysia |