The effect of changes in oil price and monetary stance on stock market performance – Evidence from Bursa Malaysia
The 2nd International Conference on the Roles of Humanities and Social Science in Engineering (ICoHSE 2010) organized by Universiti Malaysia Perlis (UniMAP), 12th - 14th November 2010 at Bayview Beach Resort, Penang, Malaysia.
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Universiti Malaysia Perlis (UniMAP)
2011
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my.unimap-117632011-05-11T01:45:58Z The effect of changes in oil price and monetary stance on stock market performance – Evidence from Bursa Malaysia Abdul Razak, Abdul Hadi Abu Hassan, Shaari Mohamed Hisham, Yahya abdrazak@ise.unikl.edu.my ahassan@ukm.my m_hisham@econ.upm.edu.my Kuala Lumpur Composite Index Engle-Granger Cointegration Test Johansen-Juselius Cointegration Test Error Correction Model Cusum Test For Structural Break International Conference on the Roles of Humanities and Social Science in Engineering (ICoHSE 2010) The 2nd International Conference on the Roles of Humanities and Social Science in Engineering (ICoHSE 2010) organized by Universiti Malaysia Perlis (UniMAP), 12th - 14th November 2010 at Bayview Beach Resort, Penang, Malaysia. The study is pursued with the objective to examine the effect of changes in crude oil price and three macroeconomic variables, namely exhange rate (RM/USD), overnight lending rate (OLR), and money supply (M1) on the performance of public listed companies in Bursa Malaysia as proxied by Kuala Lumpur Compsite Index (KLCI). The study employs Engle-Granger Cointegration test and Johansen-Juselius Multivariate Cointegration on the investigated variables. Using time series data from January 1983 through December 2006, the empirical findings show there exists a significant long-term relationship between KLCI performance and the four variables. The test results from Impulse Response Function and Variance Decomposition, however, fail to support the presence of a dynamic interaction between KLCI and the investigated variables. Interestingly, the test results form Granger Causality test indicate a significant role of money supply in influencing the performance of KLCI. The empirical findings from this study do have direct policy implications for regulators, international traders and investors. 2011-05-11T01:45:58Z 2011-05-11T01:45:58Z 2010-11-12 Working Paper http://hdl.handle.net/123456789/11763 en Proceedings of the 2nd International Conference on the Roles of the Humanities and Social Sciences in Engineering (ICoHSE) 2010 Universiti Malaysia Perlis (UniMAP) Centre for Communication Skills and Entrepreneurship |
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Universiti Malaysia Perlis |
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Malaysia |
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Universiti Malaysia Perlis |
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| language |
English |
| topic |
Kuala Lumpur Composite Index Engle-Granger Cointegration Test Johansen-Juselius Cointegration Test Error Correction Model Cusum Test For Structural Break International Conference on the Roles of Humanities and Social Science in Engineering (ICoHSE 2010) |
| spellingShingle |
Kuala Lumpur Composite Index Engle-Granger Cointegration Test Johansen-Juselius Cointegration Test Error Correction Model Cusum Test For Structural Break International Conference on the Roles of Humanities and Social Science in Engineering (ICoHSE 2010) Abdul Razak, Abdul Hadi Abu Hassan, Shaari Mohamed Hisham, Yahya The effect of changes in oil price and monetary stance on stock market performance – Evidence from Bursa Malaysia |
| description |
The 2nd International Conference on the Roles of Humanities and Social Science in Engineering (ICoHSE 2010) organized by Universiti Malaysia Perlis (UniMAP), 12th - 14th November 2010 at Bayview Beach Resort, Penang, Malaysia. |
| author2 |
abdrazak@ise.unikl.edu.my |
| author_facet |
abdrazak@ise.unikl.edu.my Abdul Razak, Abdul Hadi Abu Hassan, Shaari Mohamed Hisham, Yahya |
| format |
Working Paper |
| author |
Abdul Razak, Abdul Hadi Abu Hassan, Shaari Mohamed Hisham, Yahya |
| author_sort |
Abdul Razak, Abdul Hadi |
| title |
The effect of changes in oil price and monetary stance on stock market performance – Evidence from Bursa Malaysia |
| title_short |
The effect of changes in oil price and monetary stance on stock market performance – Evidence from Bursa Malaysia |
| title_full |
The effect of changes in oil price and monetary stance on stock market performance – Evidence from Bursa Malaysia |
| title_fullStr |
The effect of changes in oil price and monetary stance on stock market performance – Evidence from Bursa Malaysia |
| title_full_unstemmed |
The effect of changes in oil price and monetary stance on stock market performance – Evidence from Bursa Malaysia |
| title_sort |
effect of changes in oil price and monetary stance on stock market performance – evidence from bursa malaysia |
| publisher |
Universiti Malaysia Perlis (UniMAP) |
| publishDate |
2011 |
| url |
http://dspace.unimap.edu.my/xmlui/handle/123456789/11763 |
| _version_ |
1643790205730160640 |