Abstract
This paper attempts to study the structure of the relationships between leading, coincident and lagging indicators of Malaysian economy. The use of cross-autocorrelation between those indicators indicates the usefulness of those indicators in using them for forecasting. The results suggest that the leading indicator leads the coincident indicator by three months and the lagging indicator by about twelve months. The presence of the positive cross-autocorrelation between the leading indicator and excess returns provides another channel for information regarding the future Kuala Lumpur Composite Index (KLCI) movement in the Kuala Lumpur Stock Exchange. It is found that the leading economic indicator leads the market excess return by one month. The relationship is not found subject to Lucas critique, thus usage of this relationship can be applied without much concern regarding the exogeneity of the leading economic indicator.
| Original language | English |
|---|---|
| Pages (from-to) | 34-41 |
| Number of pages | 8 |
| Journal | Investment Management and Financial Innovations |
| Volume | 1 |
| Issue number | 2 |
| Publication status | Published - 2004 |
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Keywords
- Coincident and lagging indicators
- Kuala Lumpur Composite Index (KLCI)
- Kuala Lumpur Stock Exchange (KLSE)
- Lead-Lag pattern
- Leading
ASJC Scopus subject areas
- Business and International Management
- Strategy and Management
- Economics and Econometrics
- Finance
Cite this
The lead-lag pattern of leading, coincident and lagging indicators in Malaysia. / Izani, I.; Raflis, A.; Cheomar, Ahmad Raflis.
In: Investment Management and Financial Innovations, Vol. 1, No. 2, 2004, p. 34-41.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - The lead-lag pattern of leading, coincident and lagging indicators in Malaysia
AU - Izani, I.
AU - Raflis, A.
AU - Cheomar, Ahmad Raflis
PY - 2004
Y1 - 2004
N2 - This paper attempts to study the structure of the relationships between leading, coincident and lagging indicators of Malaysian economy. The use of cross-autocorrelation between those indicators indicates the usefulness of those indicators in using them for forecasting. The results suggest that the leading indicator leads the coincident indicator by three months and the lagging indicator by about twelve months. The presence of the positive cross-autocorrelation between the leading indicator and excess returns provides another channel for information regarding the future Kuala Lumpur Composite Index (KLCI) movement in the Kuala Lumpur Stock Exchange. It is found that the leading economic indicator leads the market excess return by one month. The relationship is not found subject to Lucas critique, thus usage of this relationship can be applied without much concern regarding the exogeneity of the leading economic indicator.
AB - This paper attempts to study the structure of the relationships between leading, coincident and lagging indicators of Malaysian economy. The use of cross-autocorrelation between those indicators indicates the usefulness of those indicators in using them for forecasting. The results suggest that the leading indicator leads the coincident indicator by three months and the lagging indicator by about twelve months. The presence of the positive cross-autocorrelation between the leading indicator and excess returns provides another channel for information regarding the future Kuala Lumpur Composite Index (KLCI) movement in the Kuala Lumpur Stock Exchange. It is found that the leading economic indicator leads the market excess return by one month. The relationship is not found subject to Lucas critique, thus usage of this relationship can be applied without much concern regarding the exogeneity of the leading economic indicator.
KW - Coincident and lagging indicators
KW - Kuala Lumpur Composite Index (KLCI)
KW - Kuala Lumpur Stock Exchange (KLSE)
KW - Lead-Lag pattern
KW - Leading
UR - http://www.scopus.com/inward/record.url?scp=84891873121&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84891873121&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:84891873121
VL - 1
SP - 34
EP - 41
JO - Investment Management and Financial Innovations
JF - Investment Management and Financial Innovations
SN - 1810-4967
IS - 2
ER -