Modeling the relationship between KLCI and monetary policy after the 1997 Asian financial crisis

• Main Authors: Abu Hassan Shaari Md Nor, Ruzita Abdul Rahim, Hamizah Mohd, Zaidi Isa, Ugur Ergun
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2010
• Online Access: http://journalarticle.ukm.my/1788/1/332-616-1-SM.pdf; http://journalarticle.ukm.my/1788/; http://www.ukm.my/penerbit/jurus.htm
• Institution: Universiti Kebangsaan Malaysia

Using Johansen multivariate cointegration test with structural break and Granger-causality based on vector error correction model, the interactions between stock prices (KLCI) and monetary policy variables (M1, M2 and interest rate) are examined in the Malaysian setting using monthly data for the po...