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Is domestic stock price cointegrated with exchange rate and foreign stock price? Evidence from Malaysia

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dc.contributor.authorSarkar Humayun Kabir
dc.contributor.authorOmar K. M. R. Bashar
dc.contributor.authorAbul Mansur Mohammed Masih
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T20:05:40Z
dc.date.available2016-06-06
dc.date.available2016-07-25T20:05:40Z
dc.date.disclosure2016-06-10
dc.date.issued2014
dc.description.abstractThe growth of the financial sector of an economy such as, the stock market is usually found to be highly correlated with the growth of the real sector of an economy. In this study, we make an attempt to investigate whether there is any significant relationship between the stock prices, macroeconomic variables and foreign stock prices in an economy. Using the Malaysian quarterly data from 1991–2010 and the time series techniques such as, cointegration, long run structural modeling, vector error correction, variance decompositions, impulse response functions, and persistence profile approaches, we evidence a significant statistical relationship existing between the Malaysian stock prices, exchange rate and foreign stock prices with the exchange rate being the most leading variable. We also found evidence of negative impact of the Asian Financial Crisis on Malaysian stock prices in the short run. The results appear to be plausible and contain strong policy implications.
dc.identifier.citationKabir, S. H., Bashar, O. K. M. R., & Mohammed Masih, A. M. (2014). Is domestic stock price cointegrated with exchange rate and foreign stock price? Evidence from Malaysia. Journal of Developing Areas, 48(3), pp. 285-302.
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/1364
dc.languageEnglish
dc.language.isoeng
dc.publisherTennessee State University College of Business
dc.rights2014. Tennessee State University College of Business
dc.sourceCRP
dc.subjectDomestic stock price
dc.subjectForeign stock price
dc.subjectExchange rate
dc.subjectCointegration
dc.titleIs domestic stock price cointegrated with exchange rate and foreign stock price? Evidence from Malaysia
dc.typeJournal Article
dlc.maintopicConventional finance
dlc.subtopicCapital markets
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional finance
ikr.topic.subtopicConventional finance
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