Modeling the relationship between KLCI and monetary policy after the 1997 Asian financial crisis
Using Johansen multivariate cointegration test with structural break and Granger-causality based on vector error correction model, the interactions between stock prices (KLCI) and monetary policy variables (M1, M2 and interest rate) are examined in the Malaysian setting using monthly data for the po...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2010
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| Online Access: | http://journalarticle.ukm.my/1788/ http://journalarticle.ukm.my/1788/ http://journalarticle.ukm.my/1788/1/332-616-1-SM.pdf |