Kesan kemeruapan kadar pertukaran ke atas pasaran saham di Malaysia

Translated title of the contribution: The impact of exchange rate volatility on the stock market in Malaysia

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

The study on the relationship between stock market and exchange rate have become more important since the occurance of the Asia financial crisis in 1997 and the global economic crisis in 2008 which bring to the slowdown in the stock market as well as the foreign currency in most of the countries in the world. This study tries to investigate the relationship between those two markets focusing on the impact of exchange rate volatility on the stock market in Malaysia. This paper uses the Johansen cointegration test approach with structural break, vector error correction model, variance decomposion and impulse response function on the data set spanning from January 1991 to August 2011. The results show that there exist cointegrating relationship between stock market and exchange rate volatility. Further analysis shows that both exchange rate and exchange rate volatilitry Granger cause stock market. This empirical results show that exchange rate and exchange rate volatility have an impact on stock market in Malaysia. This study also give empirical evidence on the existance of volatility spillover effect from the exchange rate market to the stock market and implies that the two markets are integrated. However, the effect is time dependent and thus the relationship between these markets are influenced by the financial crisis.

Original languageUndefined/Unknown
Pages (from-to)141-157
Number of pages17
JournalJurnal Ekonomi Malaysia
Volume46
Issue number2
Publication statusPublished - 2012

Fingerprint

Malaysia
Exchange rate volatility
Stock market
Exchange rates
Financial crisis
Stock exchange
Global economic crisis
Vector error correction model
Structural breaks
Asia
Integrated
Empirical evidence
Cointegration test
Volatility spillover
Empirical results
Foreign currency
Impulse response function
Spillover effects

Keywords

  • Cointegration
  • REER
  • Stock index
  • Structural change
  • Volatility

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)

Cite this

Kesan kemeruapan kadar pertukaran ke atas pasaran saham di Malaysia. / Md Nor, Abu Hassan Shaari; Kogid, Mori; Sarmidi, Tamat; Isa, Zaidi.

In: Jurnal Ekonomi Malaysia, Vol. 46, No. 2, 2012, p. 141-157.

Research output: Contribution to journalArticle

@article{70a94714d2df4bdc84385475e1ac4d58,
title = "Kesan kemeruapan kadar pertukaran ke atas pasaran saham di Malaysia",
abstract = "The study on the relationship between stock market and exchange rate have become more important since the occurance of the Asia financial crisis in 1997 and the global economic crisis in 2008 which bring to the slowdown in the stock market as well as the foreign currency in most of the countries in the world. This study tries to investigate the relationship between those two markets focusing on the impact of exchange rate volatility on the stock market in Malaysia. This paper uses the Johansen cointegration test approach with structural break, vector error correction model, variance decomposion and impulse response function on the data set spanning from January 1991 to August 2011. The results show that there exist cointegrating relationship between stock market and exchange rate volatility. Further analysis shows that both exchange rate and exchange rate volatilitry Granger cause stock market. This empirical results show that exchange rate and exchange rate volatility have an impact on stock market in Malaysia. This study also give empirical evidence on the existance of volatility spillover effect from the exchange rate market to the stock market and implies that the two markets are integrated. However, the effect is time dependent and thus the relationship between these markets are influenced by the financial crisis.",
keywords = "Cointegration, REER, Stock index, Structural change, Volatility",
author = "{Md Nor}, {Abu Hassan Shaari} and Mori Kogid and Tamat Sarmidi and Zaidi Isa",
year = "2012",
language = "Undefined/Unknown",
volume = "46",
pages = "141--157",
journal = "Jurnal Ekonomi Malaysia",
issn = "0126-1962",
publisher = "Penerbit Universiti Kebangsaan Malaysia",
number = "2",

}

TY - JOUR

T1 - Kesan kemeruapan kadar pertukaran ke atas pasaran saham di Malaysia

AU - Md Nor, Abu Hassan Shaari

AU - Kogid, Mori

AU - Sarmidi, Tamat

AU - Isa, Zaidi

PY - 2012

Y1 - 2012

N2 - The study on the relationship between stock market and exchange rate have become more important since the occurance of the Asia financial crisis in 1997 and the global economic crisis in 2008 which bring to the slowdown in the stock market as well as the foreign currency in most of the countries in the world. This study tries to investigate the relationship between those two markets focusing on the impact of exchange rate volatility on the stock market in Malaysia. This paper uses the Johansen cointegration test approach with structural break, vector error correction model, variance decomposion and impulse response function on the data set spanning from January 1991 to August 2011. The results show that there exist cointegrating relationship between stock market and exchange rate volatility. Further analysis shows that both exchange rate and exchange rate volatilitry Granger cause stock market. This empirical results show that exchange rate and exchange rate volatility have an impact on stock market in Malaysia. This study also give empirical evidence on the existance of volatility spillover effect from the exchange rate market to the stock market and implies that the two markets are integrated. However, the effect is time dependent and thus the relationship between these markets are influenced by the financial crisis.

AB - The study on the relationship between stock market and exchange rate have become more important since the occurance of the Asia financial crisis in 1997 and the global economic crisis in 2008 which bring to the slowdown in the stock market as well as the foreign currency in most of the countries in the world. This study tries to investigate the relationship between those two markets focusing on the impact of exchange rate volatility on the stock market in Malaysia. This paper uses the Johansen cointegration test approach with structural break, vector error correction model, variance decomposion and impulse response function on the data set spanning from January 1991 to August 2011. The results show that there exist cointegrating relationship between stock market and exchange rate volatility. Further analysis shows that both exchange rate and exchange rate volatilitry Granger cause stock market. This empirical results show that exchange rate and exchange rate volatility have an impact on stock market in Malaysia. This study also give empirical evidence on the existance of volatility spillover effect from the exchange rate market to the stock market and implies that the two markets are integrated. However, the effect is time dependent and thus the relationship between these markets are influenced by the financial crisis.

KW - Cointegration

KW - REER

KW - Stock index

KW - Structural change

KW - Volatility

UR - http://www.scopus.com/inward/record.url?scp=84878849973&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84878849973&partnerID=8YFLogxK

M3 - Article

VL - 46

SP - 141

EP - 157

JO - Jurnal Ekonomi Malaysia

JF - Jurnal Ekonomi Malaysia

SN - 0126-1962

IS - 2

ER -