Dynamic relationship between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad

This study focuses on the issue of long-run and short-run relationships between sector-specific indices of Bursa Malaysia and macroeconomic variables. The traditional variable under observation in analyzing stock market performance has been an aggregate stock market index. However, the application o...

Full description

Bibliographic Details
Main Authors:	Pyeman, Jaafar, Ahmad, Ismail
Format:	Article
Language:	English
Published:	Accounting Research Institute (ARI) & Faculty of Accountancy 2009
Online Access:	http://ir.uitm.edu.my/id/eprint/261/ http://ir.uitm.edu.my/id/eprint/261/1/AJ_JAAFAR%20PYEMAN%20MAR%2009.pdf

id	uitm-261
recordtype	eprints
spelling	uitm-2612017-08-25T03:49:31Z http://ir.uitm.edu.my/id/eprint/261/ Dynamic relationship between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad Pyeman, Jaafar Ahmad, Ismail This study focuses on the issue of long-run and short-run relationships between sector-specific indices of Bursa Malaysia and macroeconomic variables. The traditional variable under observation in analyzing stock market performance has been an aggregate stock market index. However, the application of an aggregate index could lead to misleading interpretation on the actual performance of each sector in Bursa Malaysia. Therefore, the main objective of this study is to analyze the dynamic properties of the relationship between sector-specific indices of Bursa Malaysia and macroeconomic variations. The sectoral indices of Bursa Malaysia selected for this study are namely, Construction, Plantation, Consumer Product, Finance, Industrial Product, Mining, Hotel, Property and Trading and Services. The macroeconomic variables are represented by real economic activity, interest rate, inflation rate, money supply and exchange rate. The monthly data series of the macroeconomic variables and stock market indices are obtained for the period from 1993 to 2006. This study has identified various trends of responses among the sector-specific indices towards the innovation in macroeconomic variables. The results suggest that unanticipated changes in macroeconomic variables could lead to similar patterns in some of the sector-specific indices with the effects differing mainly in terms of speed of adjustments towards equilibrium level in the long-run. Accounting Research Institute (ARI) & Faculty of Accountancy 2009-07 Article PeerReviewed text en http://ir.uitm.edu.my/id/eprint/261/1/AJ_JAAFAR%20PYEMAN%20MAR%2009.pdf Pyeman, Jaafar and Ahmad, Ismail (2009) Dynamic relationship between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad. Malaysian Accounting Review, 8 (1). pp. 81-100. ISSN 1675-4077
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
description	This study focuses on the issue of long-run and short-run relationships between sector-specific indices of Bursa Malaysia and macroeconomic variables. The traditional variable under observation in analyzing stock market performance has been an aggregate stock market index. However, the application of an aggregate index could lead to misleading interpretation on the actual performance of each sector in Bursa Malaysia. Therefore, the main objective of this study is to analyze the dynamic properties of the relationship between sector-specific indices of Bursa Malaysia and macroeconomic variations. The sectoral indices of Bursa Malaysia selected for this study are namely, Construction, Plantation, Consumer Product, Finance, Industrial Product, Mining, Hotel, Property and Trading and Services. The macroeconomic variables are represented by real economic activity, interest rate, inflation rate, money supply and exchange rate. The monthly data series of the macroeconomic variables and stock market indices are obtained for the period from 1993 to 2006. This study has identified various trends of responses among the sector-specific indices towards the innovation in macroeconomic variables. The results suggest that unanticipated changes in macroeconomic variables could lead to similar patterns in some of the sector-specific indices with the effects differing mainly in terms of speed of adjustments towards equilibrium level in the long-run.
format	Article
author	Pyeman, Jaafar Ahmad, Ismail
spellingShingle	Pyeman, Jaafar Ahmad, Ismail Dynamic relationship between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad
author_facet	Pyeman, Jaafar Ahmad, Ismail
author_sort	Pyeman, Jaafar
title	Dynamic relationship between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad
title_short	Dynamic relationship between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad
title_full	Dynamic relationship between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad
title_fullStr	Dynamic relationship between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad
title_full_unstemmed	Dynamic relationship between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad
title_sort	dynamic relationship between sector-specific indices and macroeconomic fundamentals / jaafar pyeman and ismail ahmad
publisher	Accounting Research Institute (ARI) & Faculty of Accountancy
publishDate	2009
url	http://ir.uitm.edu.my/id/eprint/261/ http://ir.uitm.edu.my/id/eprint/261/1/AJ_JAAFAR%20PYEMAN%20MAR%2009.pdf
first_indexed	2023-09-18T22:44:20Z
last_indexed	2023-09-18T22:44:20Z
_version_	1777417123748904960

Dynamic relationship between sector-specific indices and macroeconomic fundamentals / Jaafar Pyeman and Ismail Ahmad

Similar Items