Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration
This article re-examines 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 (...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Penerbit Universiti Kebangsaan Malaysia
2018
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| Online Access: | http://journalarticle.ukm.my/19644/1/jeko_521-25.pdf |
| _version_ | 1796933103120285696 |
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| author | Hakimah Nur Ahmad Hamidi, Norlin Khalid, Zulkefly Abdul Karim, |
| author_facet | Hakimah Nur Ahmad Hamidi, Norlin Khalid, Zulkefly Abdul Karim, |
| author_sort | Hakimah Nur Ahmad Hamidi, |
| collection | UKM |
| description | This article re-examines 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. |
| first_indexed | 2024-03-06T04:42:02Z |
| format | Article |
| id | ukm.eprints-19644 |
| institution | Universiti Kebangsaan Malaysia |
| language | English |
| last_indexed | 2024-03-06T04:42:02Z |
| publishDate | 2018 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | dspace |
| spelling | ukm.eprints-196442022-09-08T08:10:36Z http://journalarticle.ukm.my/19644/ Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration Hakimah Nur Ahmad Hamidi, Norlin Khalid, Zulkefly Abdul Karim, This article re-examines 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. Penerbit Universiti Kebangsaan Malaysia 2018 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/19644/1/jeko_521-25.pdf Hakimah Nur Ahmad Hamidi, and Norlin Khalid, and Zulkefly Abdul Karim, (2018) Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration. Jurnal Ekonomi Malaysia, 52 (1). pp. 311-319. ISSN 0127-1962 https://www.ukm.my/jem/issue/v52i1/ |
| spellingShingle | Hakimah Nur Ahmad Hamidi, Norlin Khalid, Zulkefly Abdul Karim, Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration |
| title | Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration |
| title_full | Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration |
| title_fullStr | Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration |
| title_full_unstemmed | Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration |
| title_short | Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration |
| title_sort | revisiting relationship between malaysian stock market index and selected macroeconomic variables using asymmetric cointegration |
| url | http://journalarticle.ukm.my/19644/1/jeko_521-25.pdf |
| work_keys_str_mv | AT hakimahnurahmadhamidi revisitingrelationshipbetweenmalaysianstockmarketindexandselectedmacroeconomicvariablesusingasymmetriccointegration AT norlinkhalid revisitingrelationshipbetweenmalaysianstockmarketindexandselectedmacroeconomicvariablesusingasymmetriccointegration AT zulkeflyabdulkarim revisitingrelationshipbetweenmalaysianstockmarketindexandselectedmacroeconomicvariablesusingasymmetriccointegration |