Co-movement between Malaysian stock index and bond index: empirical evidence from rank tests for cointegration
This study aims at examining the long-run cointegration relationship for Malaysian stock and bond market indices in the period surrounding the Asian financial crisis based on the Breitung (2001) rank test procedures. The paper argues that the standard cointegration tests do not allow for breaks and...
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| Format: | Article |
| Language: | English |
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Elsevier
2012
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| Online Access: | https://eprints.ums.edu.my/id/eprint/19112/1/Co.pdf |
| _version_ | 1796909806494154752 |
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| author | Lim, Shiok Ye Ong, Seue Li Ho, Chong Mun |
| author_facet | Lim, Shiok Ye Ong, Seue Li Ho, Chong Mun |
| author_sort | Lim, Shiok Ye |
| collection | UMS |
| description | This study aims at examining the long-run cointegration relationship for Malaysian stock and bond market indices in the period surrounding the Asian financial crisis based on the Breitung (2001) rank test procedures. The paper argues that the standard cointegration tests do not allow for breaks and lead to the finding of no cointegration. Breitung (2001) rank test was applied which can tackle the problem of breaks and can detect both linear and nonlinear cointegration relationships. For the full period (1994:1 to 2009:9) and sub-period (2000:1 to 2009:9), findings on the co-movement of stock index and bond indices suggest a long-run equilibrium relationship between these indices. |
| first_indexed | 2024-03-06T02:55:04Z |
| format | Article |
| id | ums.eprints-19112 |
| institution | Universiti Malaysia Sabah |
| language | English |
| last_indexed | 2024-03-06T02:55:04Z |
| publishDate | 2012 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | ums.eprints-191122018-03-08T03:09:27Z https://eprints.ums.edu.my/id/eprint/19112/ Co-movement between Malaysian stock index and bond index: empirical evidence from rank tests for cointegration Lim, Shiok Ye Ong, Seue Li Ho, Chong Mun HG Finance This study aims at examining the long-run cointegration relationship for Malaysian stock and bond market indices in the period surrounding the Asian financial crisis based on the Breitung (2001) rank test procedures. The paper argues that the standard cointegration tests do not allow for breaks and lead to the finding of no cointegration. Breitung (2001) rank test was applied which can tackle the problem of breaks and can detect both linear and nonlinear cointegration relationships. For the full period (1994:1 to 2009:9) and sub-period (2000:1 to 2009:9), findings on the co-movement of stock index and bond indices suggest a long-run equilibrium relationship between these indices. Elsevier 2012-01 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/19112/1/Co.pdf Lim, Shiok Ye and Ong, Seue Li and Ho, Chong Mun (2012) Co-movement between Malaysian stock index and bond index: empirical evidence from rank tests for cointegration. The IUP Journal of Applied Finance, 18 (1). pp. 5-18. ISSN 0972-5105 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2145756 |
| spellingShingle | HG Finance Lim, Shiok Ye Ong, Seue Li Ho, Chong Mun Co-movement between Malaysian stock index and bond index: empirical evidence from rank tests for cointegration |
| title | Co-movement between Malaysian stock index and bond index: empirical evidence from rank tests for cointegration |
| title_full | Co-movement between Malaysian stock index and bond index: empirical evidence from rank tests for cointegration |
| title_fullStr | Co-movement between Malaysian stock index and bond index: empirical evidence from rank tests for cointegration |
| title_full_unstemmed | Co-movement between Malaysian stock index and bond index: empirical evidence from rank tests for cointegration |
| title_short | Co-movement between Malaysian stock index and bond index: empirical evidence from rank tests for cointegration |
| title_sort | co movement between malaysian stock index and bond index empirical evidence from rank tests for cointegration |
| topic | HG Finance |
| url | https://eprints.ums.edu.my/id/eprint/19112/1/Co.pdf |
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