Penentu Aliran Pelaburan Portfolio Asing di Malaysia: Suatu Kajian Panel ARDL

Translated title of the contribution: The determinants of foreign portfolio investment flows in Malaysia: A panel ARDL study

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

Foreign portfolio investment plays an important role as a source of fund for a country's economic development. However, the movement of capital is influenced by many factors, that can be categorized as push factor and pull factor. Thus, this study aims to empirically examine the determinants of foreign portfolio investment (FPI) in Malaysia. The determinants of portfolio investment model are estimated by using the portfolio balance approach and covered interest parity rates-CIRP. Among the factors that have been considered in estimating the determinants of portfolio investment are foreign and domestic interest rate, real foreign exchange rates, foreign income, domestic income, and the Kuala Lumpur Composite Index (KLCI). This study used a quarterly time series data set spanned from frst quarter of 1991 to fourth quarter of 2012, in which consists of the movement of capital from the countries of nine major investors. The determinants of foreign portfolio investment model is estimated using a panel data approach namely Pooled Mean Group (PMG) and the Mean Group (MG) proposed by Pesaran et al. (1999). The empirical study revealed that the exchange rate, foreign interest rates and domestic stock market (KLCI) have a signifcant effect in attracting the in?ow of FPI into Malaysia. Therefore, in order to attract FPI into Malaysia, maintaining the stability of domestic interest rate, foreign exchange rate and stock market is necessary in improving the country's competitiveness in order to attract international portfolio investment.

Original languageMalay
Pages (from-to)3-14
Number of pages12
JournalJurnal Ekonomi Malaysia
Volume50
Issue number1
DOIs
Publication statusPublished - 2016

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Foreign portfolio investment
Autoregressive distributed lag model
Malaysia
Factors
Foreign exchange rates
Interest rates
Portfolio investment
Income
Composite index
Stock market
Push and pull factors
Empirical study
Time series data
Economic development
Covered interest parity
Panel data
Investors
Competitiveness

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)

Cite this

Penentu Aliran Pelaburan Portfolio Asing di Malaysia : Suatu Kajian Panel ARDL. / Abdul Karim, Zulkefly; Ramli, Nur Hidayah; Khalid, Norlin.

In: Jurnal Ekonomi Malaysia, Vol. 50, No. 1, 2016, p. 3-14.

Research output: Contribution to journalArticle

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