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Stock market and aggregate investment behavior in Malaysia: an empirical analysis

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dc.contributor.authorAbdullahi Ahmed
dc.contributor.authorMansor H. Ibrahim
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T20:05:47Z
dc.date.available2016-06-06
dc.date.available2016-07-25T20:05:47Z
dc.date.disclosure2016-06-10
dc.date.issued2013
dc.description.abstractThe present paper analyzes the role of stock market, more specifically real stock prices and stock market uncertainty/volatility, on aggregate investment behavior for an emerging market, Malaysia. Employing the autoregressive distributed lags approach to cointegration test, the paper establishes a long run equilibrium that ties the aggregate investment to its determinants—real income, real stock prices, real lending rate and stock market volatility. In the long run, we document a positive relation between aggregate investment and real stock prices and a negative relation between aggregate investment and stock market volatility. These results are further supported by our analyses of their dynamic interactions based on Granger causality and impulse-response functions. Based on the results, the real stock market prices, which has yet reached the level recorded prior to the crisis, may have explained the low investment in Malaysia after the Asian crisis. Moreover, the stock market volatility can also post a threat to the investment performance.
dc.identifier.citationIbrahim, M. H. & Ahmed, A. (2013). Stock market and aggregate investment behavior in Malaysia: an empirical analysis. Transition Studies Review, 20 (2), pp. 265-284.
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/1421
dc.languageEnglish
dc.language.isoeng
dc.publisherSpringer
dc.rights2013. Springer
dc.sourceCRP
dc.subjectStock prices
dc.subjectConditional and realized volatility
dc.subjectAggregate investment
dc.subjectMalaysia
dc.titleStock market and aggregate investment behavior in Malaysia: an empirical analysis
dc.typeJournal Article
dlc.maintopicConventional finance
dlc.subtopicConventional finance
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.docurlhttp://rd.springer.com/article/10.1007/s11300-013-0280-8
ikr.topic.maintopicConventional finance
ikr.topic.subtopicConventional finance
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