Long run cointegration between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad

Long run cointegration between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad

This paper has analysed the dynamic reactions between sector-specific indices of Bursa Malaysia and macroeconomic variables. This study shows that stock prices and macroeconomic variables tend to evolve as well as elaborate together in the long run. This study has identified various trends of respon...

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Main Authors: Pyeman, Jaafar, Ahmad, Ismail
Format: Article
Language:English
Published: Faculty of Business and Management ; UiTM Press 2007
Subjects:
Macroeconomics
Malaysia
Online Access:http://ir.uitm.edu.my/id/eprint/11439/
http://ir.uitm.edu.my/id/eprint/11439/
http://ir.uitm.edu.my/id/eprint/11439/1/AJ_JAAFAR%20PYEMAN%20JIBE%2007.pdf
id uitm-11439
recordtype eprints
spelling uitm-114392016-11-30T08:09:10Z http://ir.uitm.edu.my/id/eprint/11439/ Long run cointegration between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad Pyeman, Jaafar Ahmad, Ismail Macroeconomics Malaysia This paper has analysed the dynamic reactions between sector-specific indices of Bursa Malaysia and macroeconomic variables. This study shows that stock prices and macroeconomic variables tend to evolve as well as elaborate together in the long run. This study has identified various trends of responses among the sector-specific indices towards the innovation in macroeconomic variables. The share prices respond intensively to a shock in GDP in the long run particularly KLSECON, KLSEIND and KLSEFIN. The variances of share prices explained by innovation in GDP remain substantial for more than 20% in the long run for KLSECON and KLSEPROP. INFL has been identified to contribute great shock in KLSEFIN during short run and the share prices shocks for KLSEPROP towards innovation in INFL decrease in the long run. Furthermore, KLSEIND responds intensively to a shock in INFL and the effect has remained substantial in the long run. The innovation in INT has also contributed to great impact on the share prices especially KLSEFIN and KLSEIND during short run, KLSEIND has shown consistent responses to one standard deviation shock in INT for most of the quarters in this study. The results suggest that unanticipated changes in macroeconomic variables lead to similar patterns in some of the sector-specific indices with the effects differing mainly in term of the magnitude as well as the persistent of the responses that occur following the shocks. Faculty of Business and Management ; UiTM Press 2007 Article PeerReviewed text en http://ir.uitm.edu.my/id/eprint/11439/1/AJ_JAAFAR%20PYEMAN%20JIBE%2007.pdf Pyeman, Jaafar and Ahmad, Ismail (2007) Long run cointegration between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad. Journal of International Business, Economics and Entrepreneurship (JIBE), 13 (1). pp. 69-86. ISSN 0128-7494 https://jibe.uitm.edu.my/
repository_type Digital Repository
institution_category Local University
institution Universiti Teknologi MARA
building UiTM Institutional Repository
collection Online Access
language English
topic Macroeconomics
Malaysia
spellingShingle Macroeconomics
Malaysia
Pyeman, Jaafar
Ahmad, Ismail
Long run cointegration between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad
description This paper has analysed the dynamic reactions between sector-specific indices of Bursa Malaysia and macroeconomic variables. This study shows that stock prices and macroeconomic variables tend to evolve as well as elaborate together in the long run. This study has identified various trends of responses among the sector-specific indices towards the innovation in macroeconomic variables. The share prices respond intensively to a shock in GDP in the long run particularly KLSECON, KLSEIND and KLSEFIN. The variances of share prices explained by innovation in GDP remain substantial for more than 20% in the long run for KLSECON and KLSEPROP. INFL has been identified to contribute great shock in KLSEFIN during short run and the share prices shocks for KLSEPROP towards innovation in INFL decrease in the long run. Furthermore, KLSEIND responds intensively to a shock in INFL and the effect has remained substantial in the long run. The innovation in INT has also contributed to great impact on the share prices especially KLSEFIN and KLSEIND during short run, KLSEIND has shown consistent responses to one standard deviation shock in INT for most of the quarters in this study. The results suggest that unanticipated changes in macroeconomic variables lead to similar patterns in some of the sector-specific indices with the effects differing mainly in term of the magnitude as well as the persistent of the responses that occur following the shocks.
format Article
author Pyeman, Jaafar
Ahmad, Ismail
author_facet Pyeman, Jaafar
Ahmad, Ismail
author_sort Pyeman, Jaafar
title Long run cointegration between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad
title_short Long run cointegration between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad
title_full Long run cointegration between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad
title_fullStr Long run cointegration between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad
title_full_unstemmed Long run cointegration between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad
title_sort long run cointegration between sector-specific indices and macroeconomic fundamentals / jaafar pyeman and ismail ahmad
publisher Faculty of Business and Management ; UiTM Press
publishDate 2007
url http://ir.uitm.edu.my/id/eprint/11439/
http://ir.uitm.edu.my/id/eprint/11439/
http://ir.uitm.edu.my/id/eprint/11439/1/AJ_JAAFAR%20PYEMAN%20JIBE%2007.pdf
first_indexed 2023-09-18T22:47:58Z
last_indexed 2023-09-18T22:47:58Z
_version_ 1777417352624734208

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