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Title: | The effect of changes in oil price and monetary stance on stock market performance – Evidence from Bursa Malaysia |
Authors: | Abdul Razak, Abdul Hadi Abu Hassan, Shaari Mohamed Hisham, Yahya abdrazak@ise.unikl.edu.my ahassan@ukm.my m_hisham@econ.upm.edu.my |
Keywords: | 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) |
Issue Date: | 12-Nov-2010 |
Publisher: | Universiti Malaysia Perlis (UniMAP) |
Series/Report no.: | Proceedings of the 2nd International Conference on the Roles of the Humanities and Social Sciences in Engineering (ICoHSE) 2010 |
Abstract: | 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. |
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. |
URI: | http://dspace.unimap.edu.my/123456789/11763 |
Appears in Collections: | Conference Papers |
Files in This Item:
File | Description | Size | Format | |
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209.pdf | Access is limited to UniMAP community | 406.94 kB | Adobe PDF | View/Open |
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