Stock market and economic activity in Malaysia

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

This study examines the stock market as a predictor of the economic activity in Malaysia and its sensitivity to different stock market conditions. In doing so, we employ the Johansen cointegration, variance decomposition and the Autoregressive Distributed Lags bound test. For the whole period under study, the Johansen cointegration and the VDC show that the Malaysian stock market lead changes in economic activity. However, the results from the ARDL show no relation between the two variables. Different findings are found for different sub-periods. All the three tests suggest that the stock market lead changes in economic activity only during sub-period of 1986m5-1998m7. This implies that the stock market as predictor to economic activity is sensitive to different stock market conditions. This study also highlights the usefulness of ARDL method especially when stationarity becomes an issue.

Original languageEnglish
Pages (from-to)116-123
Number of pages8
JournalInvestment Management and Financial Innovations
Volume2
Issue number4
Publication statusPublished - 2005

Fingerprint

Market activity
Stock market
Malaysia
Economic activity
Market conditions
Cointegration
Predictors
Autoregressive distributed lag model
Stationarity
Variance decomposition
Distributed lag
Usefulness
Bounds test

Keywords

  • ARDL
  • Cointegration
  • Economic activity
  • Stock market

ASJC Scopus subject areas

  • Business and International Management
  • Strategy and Management
  • Economics and Econometrics
  • Finance

Cite this

Stock market and economic activity in Malaysia. / Janor, Hawati; Halid, Noreha; Abdul Rahman, Aisyah.

In: Investment Management and Financial Innovations, Vol. 2, No. 4, 2005, p. 116-123.

Research output: Contribution to journalArticle

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