Cointegration between macroeconomic variables and sectoral indices movement in Bursa Malaysia
This paper examines the cointegration between sectoral indices in Bursa Malaysia and the selected macroeconomic variables, namely, oil price (OP), gold price (GP), and exchange rate (ER), during the period 1995-2014. The underlying series are tested by using Unit Root Test, Johansen Cointegration, V...
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| Format: | Article |
| Language: | English |
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Kolej University Islam Sultan Azlan Shah
2017
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| Online Access: | View Fulltext in Publisher View in Scopus |
| LEADER | 01666nam a2200205Ia 4500 | ||
|---|---|---|---|
| 001 | 10.7187-gjat12320170701 | ||
| 008 | 220120s2017 CNT 000 0 und d | ||
| 020 | |a 22320474 (ISSN) | ||
| 245 | 1 | 0 | |a Cointegration between macroeconomic variables and sectoral indices movement in Bursa Malaysia |
| 260 | 0 | |b Kolej University Islam Sultan Azlan Shah |c 2017 | |
| 520 | 3 | |a This paper examines the cointegration between sectoral indices in Bursa Malaysia and the selected macroeconomic variables, namely, oil price (OP), gold price (GP), and exchange rate (ER), during the period 1995-2014. The underlying series are tested by using Unit Root Test, Johansen Cointegration, Vector Error Correction Model (VECM) and Vector Autoregression (VAR). The results indicate that sectoral indices, specifically in technology sector, have long run cointegration with macroeconomic variable as resulted from the analysis of Johansen-Juselius (1990), Multivariate Cointegration and Vector Error Correction Model. Meanwhile, the short run cointegration between macroeconomic variable and several sectoral indices have also been observed in Bursa Malaysia. | |
| 650 | 0 | 4 | |a Macroeconomic variable |
| 650 | 0 | 4 | |a Sectoral indices |
| 650 | 0 | 4 | |a Vector Autoregression Model |
| 650 | 0 | 4 | |a Vector Error Correction Model |
| 700 | 1 | 0 | |a Ahmad, I. |e author |
| 700 | 1 | 0 | |a Pyeman, J. |e author |
| 773 | |t Global Journal Al-Thaqafah |x 22320474 (ISSN) |g 7 1, 19-27 | ||
| 856 | |z View Fulltext in Publisher |u https://doi.org/10.7187/gjat12320170701 | ||
| 856 | |z View in Scopus |u https://www.scopus.com/inward/record.uri?eid=2-s2.0-85026809137&doi=10.7187%2fgjat12320170701&partnerID=40&md5=4a3c5c4aa544b7f411f08fe719bc29f2 | ||