Stock prices and dynamics of aggregate investment: evidence from Malaysia
The paper analyzes empirically the role of stock prices in the aggregate investment function for an emerging market, Malaysia. The neoclassical investment theory that relates investment to output and lending rate and augmented with stock prices is used as an empirical basis. Applying a series of tim...
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| Format: | Article |
| Language: | English |
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Faculty of Economics and Management, Universiti Putra Malaysia
2008
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| Online Access: | http://psasir.upm.edu.my/id/eprint/39426/1/39426.pdf |
| _version_ | 1825949407242092544 |
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| author | Ibrahim, Mansor |
| author_facet | Ibrahim, Mansor |
| author_sort | Ibrahim, Mansor |
| collection | UPM |
| description | The paper analyzes empirically the role of stock prices in the aggregate investment function for an emerging market, Malaysia. The neoclassical investment theory that relates investment to output and lending rate and augmented with stock prices is used as an empirical basis. Applying a series of time series techniques, we document evidence suggesting favorable effects of stock market increases on aggregate investment especially in the long run. Likewise, the stock market seems to anticipate future variations in output. Reasonably, as suggested by our empirical results using vector error correction modeling, variance decompositions and impulse response functions, the aggregate investment tends to respond faster and with larger magnitude to stock price shocks than real output does. Having noted these, our analysis does not rule out adverse short run real effects of cyclical variations in stock prices. |
| first_indexed | 2024-03-06T08:44:05Z |
| format | Article |
| id | upm.eprints-39426 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T08:44:05Z |
| publishDate | 2008 |
| publisher | Faculty of Economics and Management, Universiti Putra Malaysia |
| record_format | dspace |
| spelling | upm.eprints-394262015-08-03T03:36:32Z http://psasir.upm.edu.my/id/eprint/39426/ Stock prices and dynamics of aggregate investment: evidence from Malaysia Ibrahim, Mansor The paper analyzes empirically the role of stock prices in the aggregate investment function for an emerging market, Malaysia. The neoclassical investment theory that relates investment to output and lending rate and augmented with stock prices is used as an empirical basis. Applying a series of time series techniques, we document evidence suggesting favorable effects of stock market increases on aggregate investment especially in the long run. Likewise, the stock market seems to anticipate future variations in output. Reasonably, as suggested by our empirical results using vector error correction modeling, variance decompositions and impulse response functions, the aggregate investment tends to respond faster and with larger magnitude to stock price shocks than real output does. Having noted these, our analysis does not rule out adverse short run real effects of cyclical variations in stock prices. Faculty of Economics and Management, Universiti Putra Malaysia 2008-12 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/39426/1/39426.pdf Ibrahim, Mansor (2008) Stock prices and dynamics of aggregate investment: evidence from Malaysia. International Journal of Economics and Management, 2 (2). pp. 207-219. ISSN 1823-836X http://econ.upm.edu.my/ijem/vol2_no2.htm |
| spellingShingle | Ibrahim, Mansor Stock prices and dynamics of aggregate investment: evidence from Malaysia |
| title | Stock prices and dynamics of aggregate investment: evidence from Malaysia |
| title_full | Stock prices and dynamics of aggregate investment: evidence from Malaysia |
| title_fullStr | Stock prices and dynamics of aggregate investment: evidence from Malaysia |
| title_full_unstemmed | Stock prices and dynamics of aggregate investment: evidence from Malaysia |
| title_short | Stock prices and dynamics of aggregate investment: evidence from Malaysia |
| title_sort | stock prices and dynamics of aggregate investment evidence from malaysia |
| url | http://psasir.upm.edu.my/id/eprint/39426/1/39426.pdf |
| work_keys_str_mv | AT ibrahimmansor stockpricesanddynamicsofaggregateinvestmentevidencefrommalaysia |