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 (...

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Main Authors: Hakimah Nur Ahmad Hamidi, Norlin Khalid, Zulkefly Abdul Karim
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2018
Online Access:http://journalarticle.ukm.my/19644/1/jeko_521-25.pdf
http://journalarticle.ukm.my/19644/
https://www.ukm.my/jem/issue/v52i1/
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Institution: Universiti Kebangsaan Malaysia
Language: English
id my-ukm.journal.19644
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spelling my-ukm.journal.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/
institution Universiti Kebangsaan Malaysia
building Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
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.
format Article
author Hakimah Nur Ahmad Hamidi,
Norlin Khalid,
Zulkefly Abdul Karim,
spellingShingle Hakimah Nur Ahmad Hamidi,
Norlin Khalid,
Zulkefly Abdul Karim,
Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration
author_facet Hakimah Nur Ahmad Hamidi,
Norlin Khalid,
Zulkefly Abdul Karim,
author_sort Hakimah Nur Ahmad Hamidi,
title 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_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_sort revisiting relationship between malaysian stock market index and selected macroeconomic variables using asymmetric cointegration
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2018
url http://journalarticle.ukm.my/19644/1/jeko_521-25.pdf
http://journalarticle.ukm.my/19644/
https://www.ukm.my/jem/issue/v52i1/
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