Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach

Oil is one of the most important commodities and its impact on the global economy is evident through many studies. This study is focused on examining the nine sectors of stock returns in Malaysia. The main objective is to investigate the asymmetric effects of oil price changes (oil price increases a...

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Main Authors:	Chiew, Eng Woo, Sek, Siok Kun
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2019
Online Access:	http://journalarticle.ukm.my/14136/ http://journalarticle.ukm.my/14136/ http://journalarticle.ukm.my/14136/1/jeko_53%283%29-3.pdf

id	ukm-14136
recordtype	eprints
spelling	ukm-141362020-02-07T10:49:57Z http://journalarticle.ukm.my/14136/ Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach Chiew, Eng Woo Sek, Siok Kun Oil is one of the most important commodities and its impact on the global economy is evident through many studies. This study is focused on examining the nine sectors of stock returns in Malaysia. The main objective is to investigate the asymmetric effects of oil price changes (oil price increases and decreases) on the sectoral stock returns in Malaysia. Besides, this study also examines the spillover effect among the sectoral stock returns in Malaysia relative to the effects of other factors. By using monthly data from 2000 to 2017, the Non-linear Autoregressive Distributed Lags (NARDL) model is applied to model the asymmetric effect of oil price changes. The study detected the asymmetric effects of oil price changes with negative effect dominant, the positive effect and oil price effect is larger in the oil intensive sectors. However, the oil price is not the main determinant factor. The main factors determining the stock returns are exchange rate, Malaysia stock market return, world stock return and sectoral spillover effect. Among these factors, the exchange rate is the main factor that influenced the stock return. Penerbit Universiti Kebangsaan Malaysia 2019 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/14136/1/jeko_53%283%29-3.pdf Chiew, Eng Woo and Sek, Siok Kun (2019) Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach. Jurnal Ekonomi Malaysia, 53 (3). pp. 1-19. ISSN 0127-1962 http://www.ukm.my/fep/jem/content/2019-3.html
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	Oil is one of the most important commodities and its impact on the global economy is evident through many studies. This study is focused on examining the nine sectors of stock returns in Malaysia. The main objective is to investigate the asymmetric effects of oil price changes (oil price increases and decreases) on the sectoral stock returns in Malaysia. Besides, this study also examines the spillover effect among the sectoral stock returns in Malaysia relative to the effects of other factors. By using monthly data from 2000 to 2017, the Non-linear Autoregressive Distributed Lags (NARDL) model is applied to model the asymmetric effect of oil price changes. The study detected the asymmetric effects of oil price changes with negative effect dominant, the positive effect and oil price effect is larger in the oil intensive sectors. However, the oil price is not the main determinant factor. The main factors determining the stock returns are exchange rate, Malaysia stock market return, world stock return and sectoral spillover effect. Among these factors, the exchange rate is the main factor that influenced the stock return.
format	Article
author	Chiew, Eng Woo Sek, Siok Kun
spellingShingle	Chiew, Eng Woo Sek, Siok Kun Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach
author_facet	Chiew, Eng Woo Sek, Siok Kun
author_sort	Chiew, Eng Woo
title	Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach
title_short	Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach
title_full	Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach
title_fullStr	Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach
title_full_unstemmed	Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach
title_sort	examining asymmetric oil price exposure to assets return in malaysia: a nonlinear ardl approach
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2019
url	http://journalarticle.ukm.my/14136/ http://journalarticle.ukm.my/14136/ http://journalarticle.ukm.my/14136/1/jeko_53%283%29-3.pdf
first_indexed	2023-09-18T20:06:25Z
last_indexed	2023-09-18T20:06:25Z
_version_	1777407188672708608

Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach

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