The effect of changes in oil price and monetary stance on stock market performance - evidence from Bursa Malaysia
Link to publisher's homepage at http://ijbt.unimap.edu.my/
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School of Business Innovation and Technopreneurship, Universiti Malaysia Perlis (UniMAP)
2015
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my.unimap-385932015-01-20T05:08:43Z The effect of changes in oil price and monetary stance on stock market performance - evidence from Bursa Malaysia Abdul Razak, Abdul Hadi Abu Hassan, Shaare 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 tTest Error correction model Cusum test for structural break Link to publisher's homepage at http://ijbt.unimap.edu.my/ 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 (Ml) on the performance of public listed companies in Bursa Malaysia as proxied by Kuala Lumpur Campsite Index (KLCI). The study employs Engle-Granger Cointegration test and Johansen-Juselius Multivariate Co integration 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. 2015-01-20T05:08:43Z 2015-01-20T05:08:43Z 2011-02 Article International Journal of Business and Technopreneurship, vol.1 (Issue 1), 2011, pages 69-88 2231-7090 ttp://ijbt.unimap.edu.my/ http://dspace.unimap.edu.my:80/xmlui/handle/123456789/38593 en School of Business Innovation and Technopreneurship, Universiti Malaysia Perlis (UniMAP) |
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Universiti Malaysia Perlis |
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UniMAP Library |
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Asia |
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Malaysia |
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Universiti Malaysia Perlis |
| content_source |
UniMAP Library Digital Repository |
| url_provider |
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| language |
English |
| topic |
Kuala Lumpur Composite Index Engle-granger cointegration test Johansen-Juselius cointegration tTest Error correction model Cusum test for structural break |
| spellingShingle |
Kuala Lumpur Composite Index Engle-granger cointegration test Johansen-Juselius cointegration tTest Error correction model Cusum test for structural break Abdul Razak, Abdul Hadi Abu Hassan, Shaare Mohamed Hisham, Yahya The effect of changes in oil price and monetary stance on stock market performance - evidence from Bursa Malaysia |
| description |
Link to publisher's homepage at http://ijbt.unimap.edu.my/ |
| author2 |
abdrazak@ise.unikl.edu.my |
| author_facet |
abdrazak@ise.unikl.edu.my Abdul Razak, Abdul Hadi Abu Hassan, Shaare Mohamed Hisham, Yahya |
| format |
Article |
| author |
Abdul Razak, Abdul Hadi Abu Hassan, Shaare 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 |
School of Business Innovation and Technopreneurship, Universiti Malaysia Perlis (UniMAP) |
| publishDate |
2015 |
| url |
http://dspace.unimap.edu.my:80/xmlui/handle/123456789/38593 |
| _version_ |
1643798815849840640 |