Hubungan jangka panjang dan interaksi dinamik antara pasaran saham dengan aktiviti ekonomi di Malaysia

Translated title of the contribution: Long-term relationships and dynamic interactions between stock markets and economic activities in Malaysia

Mori Kogid, Abu Hassan Shaari Md Nor, Tamat Sarmidi, Nanthakumar Loganathan

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This study examines the long-run cointegration and short-run dynamic interactions between stock market and economic activity in Malaysia. By using monthly data from January 1990 to November 2011, the empirical test results show potential cointegrating relationship between stock market and economic activity. In our study, we try to improve the cointegration test procedure by taking into account several important features such as structural breaks, asymmetric effects, and nonlinear process in addition to the use of various high power techniques for better testing such as Gregory-Hansen, Johansen-Mosconi-Nielsen, Bierens, Pesaran-Shin-Smith and Enders-Siklos approaches in addressing the weaknesses found in the traditional cointegration testing techniques. The test results based on Toda-Yamamoto and ARDL-ECM approaches also show a one way Granger causal relationship from economic activity to the stock market in Malaysia. This gives a general overview that economic activity may potentially serve as an indicator and important variable in predicting the future stock market behaviour.

Original languageUndefined/Unknown
Pages (from-to)149-160
Number of pages12
JournalJurnal Pengurusan
Volume36
Publication statusPublished - 2012

Fingerprint

Market activity
Long-term relationships
Malaysia
Interaction
Economic activity
Stock market
Testing
Cointegration
Nonlinear process
Structural breaks
Short-run
Extracellular matrix
Asymmetric effects
Empirical test
Cointegration test
Market behavior
Autoregressive distributed lag model

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Accounting
  • Business and International Management

Cite this

Hubungan jangka panjang dan interaksi dinamik antara pasaran saham dengan aktiviti ekonomi di Malaysia. / Kogid, Mori; Md Nor, Abu Hassan Shaari; Sarmidi, Tamat; Loganathan, Nanthakumar.

In: Jurnal Pengurusan, Vol. 36, 2012, p. 149-160.

Research output: Contribution to journalArticle

@article{7d0d68a552904d4693ad658419a728c2,
title = "Hubungan jangka panjang dan interaksi dinamik antara pasaran saham dengan aktiviti ekonomi di Malaysia",
abstract = "This study examines the long-run cointegration and short-run dynamic interactions between stock market and economic activity in Malaysia. By using monthly data from January 1990 to November 2011, the empirical test results show potential cointegrating relationship between stock market and economic activity. In our study, we try to improve the cointegration test procedure by taking into account several important features such as structural breaks, asymmetric effects, and nonlinear process in addition to the use of various high power techniques for better testing such as Gregory-Hansen, Johansen-Mosconi-Nielsen, Bierens, Pesaran-Shin-Smith and Enders-Siklos approaches in addressing the weaknesses found in the traditional cointegration testing techniques. The test results based on Toda-Yamamoto and ARDL-ECM approaches also show a one way Granger causal relationship from economic activity to the stock market in Malaysia. This gives a general overview that economic activity may potentially serve as an indicator and important variable in predicting the future stock market behaviour.",
author = "Mori Kogid and {Md Nor}, {Abu Hassan Shaari} and Tamat Sarmidi and Nanthakumar Loganathan",
year = "2012",
language = "Undefined/Unknown",
volume = "36",
pages = "149--160",
journal = "Jurnal Pengurusan",
issn = "0127-2713",
publisher = "Penerbit Universiti Kebangsaan Malaysia",

}

TY - JOUR

T1 - Hubungan jangka panjang dan interaksi dinamik antara pasaran saham dengan aktiviti ekonomi di Malaysia

AU - Kogid, Mori

AU - Md Nor, Abu Hassan Shaari

AU - Sarmidi, Tamat

AU - Loganathan, Nanthakumar

PY - 2012

Y1 - 2012

N2 - This study examines the long-run cointegration and short-run dynamic interactions between stock market and economic activity in Malaysia. By using monthly data from January 1990 to November 2011, the empirical test results show potential cointegrating relationship between stock market and economic activity. In our study, we try to improve the cointegration test procedure by taking into account several important features such as structural breaks, asymmetric effects, and nonlinear process in addition to the use of various high power techniques for better testing such as Gregory-Hansen, Johansen-Mosconi-Nielsen, Bierens, Pesaran-Shin-Smith and Enders-Siklos approaches in addressing the weaknesses found in the traditional cointegration testing techniques. The test results based on Toda-Yamamoto and ARDL-ECM approaches also show a one way Granger causal relationship from economic activity to the stock market in Malaysia. This gives a general overview that economic activity may potentially serve as an indicator and important variable in predicting the future stock market behaviour.

AB - This study examines the long-run cointegration and short-run dynamic interactions between stock market and economic activity in Malaysia. By using monthly data from January 1990 to November 2011, the empirical test results show potential cointegrating relationship between stock market and economic activity. In our study, we try to improve the cointegration test procedure by taking into account several important features such as structural breaks, asymmetric effects, and nonlinear process in addition to the use of various high power techniques for better testing such as Gregory-Hansen, Johansen-Mosconi-Nielsen, Bierens, Pesaran-Shin-Smith and Enders-Siklos approaches in addressing the weaknesses found in the traditional cointegration testing techniques. The test results based on Toda-Yamamoto and ARDL-ECM approaches also show a one way Granger causal relationship from economic activity to the stock market in Malaysia. This gives a general overview that economic activity may potentially serve as an indicator and important variable in predicting the future stock market behaviour.

UR - http://www.scopus.com/inward/record.url?scp=84887123108&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84887123108&partnerID=8YFLogxK

M3 - Article

VL - 36

SP - 149

EP - 160

JO - Jurnal Pengurusan

JF - Jurnal Pengurusan

SN - 0127-2713

ER -