The co-integration and casual effect between gold price, crude oil price and FTSE Bursa Malaysia KLCI / Rabiatul Adawiyah Nuh

• Main Author: Nuh, Rabiatul Adawiyah
• Format: Student Project
• Language: English
• Published: 2015
• Subjects: Investment, capital formation, speculation; Stock exchanges. Insider trading in securities; Stock price indexes. Stock quotations; Kuala Lumpur. KLSE
• Online Access: http://ir.uitm.edu.my/id/eprint/30578/1/30578.pdf; http://ir.uitm.edu.my/id/eprint/30578/
• Institution: Universiti Teknologi Mara

The aim of this study is to investigate the co-integration, causal relationship and long run relationship between domestic gold prices, domestic crude oil price and FTSE Bursa Malaysia KLCI. The study used Johansen Co-integration Test, Granger Causality Test and Vector Error Correction Model (VECM) in order to find the relationship among the variables. The monthly domestic price of gold, crude oil and FTSE Bursa Malaysia KLCI is collected from 31st May 1995 until 30th April 2015. Based on the co-integration results from this study it revealed that there are exists co-integration for the three variables. Therefore, it can be concluded from the evidence that there is long run relationship exist between FTSE, gold price and crude oil price. The causality relationship between the three variables then tested by using granger causality tests and the results shows that there is unidirectional relationship exists between FTSE and gold at 10% level of significance. There is also reported that unidirectional relationship exists between FTSE and crude oil at 5% level of significance.