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Integration Analysis of the Malaysian Stock Market

Chan, Sok Gee (2004) Integration Analysis of the Malaysian Stock Market. Masters thesis, Universiti Utara Malaysia.

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Abstract

This study employs the cointergration and causality techniques in examining the intergration as well as the short-term and long term dynamic causal linkages between the five major sector' price indices listed in the main board of he Malaysan stock market and intergration elationship among the stock market of Malaysia major trading partners. This study is also aims to investigate the contagion and interdependent relationship between the five major sector' price indices in Malaysia and also between major trading partners before and after the financial crisis in July 1997. The results in this study show that the integration relationship between the sectors in Malaysia is more pronounce that between the Malaysiann stock market and its major trading partners. The results also suggest that the Malaysian stock market is robust to the influence of the price movement of its major trading partners and the speed adjustment prcesses in both sectors and stock markets is relatively fast. In addition, the Malaysian stock market providec better opportunity for diversification for the international investors in diversifying their overall risk. Besides that, investors in the Malaysian stock market can used the price movement in the properties sector in predicting the price movement in other sectors in the Malaysian stock market since the properties sector is found to be a good predictor of other sectors' prices in the Malaysian stock market. The impact of globalisation and the increase in the equity investment by one country to another is shown to increase the lead lag relationship between the stock markets. Thus, the investors should take into the consideration of the equity investment of one country to another before diversiifying their investment. The results of variance decomposition suggest thet there are no contagion effect between the major sectors in Malaysia and between the Malaysian stock market and its major trading partners before and after the financial crisis in July 1997 as the degree of cointegration and the number of stock markets being cointegrated decrease after the financial crisis.

Item Type: Thesis (Masters)
Subjects: H Social Sciences > HG Finance
Divisions: Faculty and School System > Sekolah Siswazah
Depositing User: Mrs Hafiza Mohd Akhir
Date Deposited: 25 Jan 2010 02:56
Last Modified: 24 Jul 2013 12:10
URI: http://etd.uum.edu.my/id/eprint/1161

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