UUM Electronic Theses and Dissertation
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The impact of Covid-19 on stock market performance: Evidence from Malaysia

Shahiran, Muhamad Fitri (2021) The impact of Covid-19 on stock market performance: Evidence from Malaysia. Masters thesis, Universiti Utara Malaysia.

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Abstract

This study intends to assess the impact of Covid-19 cases on the Malaysian stock market performance. There are various factors that affect the stock price, and studies have indicated that pandemic cases could also influence the level of stock market performance. By employing Johansen-Juselius cointegration technique, this study
finds that there is a long-run equilibrium relationship between FBMKLCI, total cases of Covid-19 in Malaysia, exchange rates, gold price and crude oil price. Nevertheless, results of normalized cointegration coefficients indicate that only exchange rates are
found to be significant and positive in influencing the performance of the Malaysian stock market. Other variables are not significant including the total cases of Covid-19. Prior to conducting the cointegration test, all variables are exposed to unit root tests of
Augmented Dickey-Fuller (ADF) and Phillip-Perron (PP). Both tests indicate that the variables are stationary at first differenced, and can proceed with the cointegration test. The implication of this study is that even though the total cases of Covid-19 does not have a significant influence on FBMKLCI, its inclusion in the model still shows that
there is a cointegration relationship among the variables. This indicates in the longrun, it may influence the Malaysian stock market performance, and investors need to be aware of its existence and its potential effect.

Item Type: Thesis (Masters)
Supervisor : Nordin, Sabariah
Item ID: 10307
Uncontrolled Keywords: Crude oil price, KLCI, Gold price, Exchange rates, VECM Method, COVID-19 cases
Subjects: H Social Sciences > HG Finance
Divisions: School of Economics, Finance & Banking
Date Deposited: 09 Feb 2023 02:11
Last Modified: 09 Feb 2023 02:11
Department: School of Economics, Finance and Banking
Name: Nordin, Sabariah
URI: https://etd.uum.edu.my/id/eprint/10307

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