The lead-lag pattern of leading, coincident and lagging indicators in Malaysia

I. Izani, A. Raflis, Ahmad Raflis Cheomar

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)34-41
Number of pages8
JournalInvestment Management and Financial Innovations
Volume1
Issue number2
Publication statusPublished - 2004

Fingerprint

Malaysia
Lag
Economic indicators
Leading indicators
Autocorrelation
Excess returns
Exogeneity
Composite index
Coincident indicators
Stock exchange
Lucas critique
Usefulness

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 journalArticle

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