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Jurnal Ekonomi Malaysia

50 (1) 2016 3 – 14

Penentu Aliran Pelaburan Portfolio Asing di Malaysia: Suatu Kajian Panel ARDL
The Determinants of Foreign Portfolio Investment Flows in Malaysia: A Panel ARDL Study

Pusat Pengajian Ekonomi
Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia (UKM)
43600 Bangi, Selangor, Malaysia.

zak1972@ukm.edu.my

Pusat Pengajian Ekonomi
Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia (UKM)
43 600 Bangi, Selangor, Malaysia

noorr_902@yahoo.com.my

Pusat Pengajian Ekonomi
Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia (UKM)
43600 Bangi, Selangor, Malaysia

nrlin@ukm.edu.my

Abstract

Foreign portfolio investment plays an important role as a source of fund for a country‘s economic development. However, the movement of capital is influenced by many factors, that can be categorized as push factor and pull factor. Thus, this study aims to empirically examine the determinants of foreign portfolio investment (FPI) in Malaysia. The determinants of portfolio investment model are estimated by using the portfolio balance approach and covered interest parity rates – CIRP. Among the factors that have been considered in estimating the determinants of portfolio investment are foreign and domestic interest rate, real foreign exchange rates, foreign income, domestic income, and the Kuala Lumpur Composite Index (KLCI). This study used a quarterly time series data set spanned from first quarter of 1991 to fourth quarter of 2012, in which consists of the movement of capital from the countries of nine major investors. The determinants of foreign portfolio investment model is estimated using a panel data approach namely Pooled Mean Group (PMG) and the Mean Group (MG) proposed by Pesaran et al. (1999). The empirical study revealed that the exchange rate, foreign interest rates and domestic stock market (KLCI) have a significant effect in attracting the inflow of FPI into Malaysia. Therefore, in order to attract FPI into Malaysia, maintaining the stability of domestic interest rate, foreign exchange rate and stock market is necessary in improving the country‘s competitiveness in order to attract international portfolio investment.

Keywords

Foreign portfolio investment; mean group; pooled mean group; portfolio balance approach
http://dx.doi.org/10.17576/JEM-2016-5001-01
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Abdul Karim, , Ramli, , & Khalid, (2016). Penentu Aliran Pelaburan Portfolio Asing di Malaysia: Suatu Kajian Panel ARDL. Jurnal Ekonomi Malaysia, 50(1), 3–14. http://dx.doi.org/10.17576/JEM-2016-5001-01

@article{abdulkarim2016penentu,
  title={Penentu Aliran Pelaburan Portfolio Asing di Malaysia: Suatu Kajian Panel ARDL},
  author={Abdul Karim, Zulkefly and Ramli, Nur Hidayah and Khalid, Norlin},
  journal={Jurnal Ekonomi Malaysia},
  volume={50},
  number={1},
  pages={3—14},
 

year={2016},
}

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