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Sains Malaysiana 51(7)(2022):
http://doi.org/10.17576/jsm-2022-5107-30
Hubungan antara Emas, Minyak dan Pasaran Saham Malaysia semasa Perintah Kawalan Pergerakan COVID-19 menggunakan Regresi Kuantil dan Siri Masa
(Relationship between Oil, Gold and Malaysian Stock Market during COVID-19 Movement Control Order using Quantile Regression and Time Series)
HADIRAH BINTI MOHD HAIRUDDIN & R. NUR-FIRYAL*
Department of Mathematical Sciences, Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor Darul Ehsan, Malaysia
Diserahkan: 8 Mac 2022/Diterima: 16 April 2022
Abstrak
Pandemik COVID-19 telah memberi kesan
negatif terhadap sektor kewangan dan ekonomi dunia. Secara umumnya, pelabur
akan mula melabur dalam aset berisiko rendah seperti emas dan minyak mentah
ketika ekonomi tidak stabil. Oleh itu, kajian ini bertujuan untuk mengkaji
hubungan komoditi terhadap indeks Bursa Malaysia KLCI (KLSE) dan menentukan
sifat emas Barrick Gold Corp (GOLD) dan harga minyak mentah hadapan (WTI). Hubungan antara KLSE, GOLD dan WTI boleh membantu pelabur dalam memahami
pengaruh aset komoditi terhadap indeks pasaran saham Malaysia semasa pandemik
COVID-19. Data kajian ini diambil untuk empat masa yang berbeza iaitu selama 40
hari sebelum dan semasa perintah kawalan pergerakan (PKP) Fasa 1 serta Fasa 3
pandemik COVID-19. Tempoh ini merangkumi 17 Januari hingga 17 Mac 2020 dan 18
Mac hingga 18 Mei 2020 untuk sebelum dan semasa Fasa 1 dan 29 Mac hingga 28 Mei
2021 dan 1 Jun hingga 29 Julai 2021 untuk sebelum dan semasa Fasa 3. Kaedah
yang digunakan adalah regresi linear siri masa (TSLM) dan regresi kuantil
(QREG). Hasil kajian ini menunjukkan harga
minyak mentah hadapan (WTI) mempunyai hubungan linear terhadap
harga indeks KLSE sebelum PKP Fasa 1 dan merupakan aset selamat semasa PKP Fasa
1 dan 3. Seterusnya, harga emas Barrick Gold Corp
(LGOLD) merupakan aset
lindung nilai bagi kesemua fasa PKP kecuali semasa PKP Fasa 3 dan merupakan
aset selamat sebelum PKP Fasa 1. Pelabur boleh menggabungkan emas dan pasaran
saham ke dalam portfolio atau melabur ke dalam instrumen minyak bagi
merendahkan risiko kerugian.
Kata kunci: Aset lindung nilai; aset
selamat; regresi kuantil; regresi linear siri masa
Abstract
The COVID-19 pandemic has had a
negative impact on the financial sector and world’s economy. Generally,
investors will invest in low-risk assets such as gold and crude oil when the
economy is unstable. Therefore, this study aims to examine the relationship
between these commodities towards Bursa Malaysia KLCI (KLSE) price index and to
determine the properties of Barrick Gold Corp (GOLD) and Crude Oil WTI Futures
(WTI). The relationship between KLSE, GOLD, and WTI help investors to
understand the impact of commodity assets on Malaysia index market during
COVID-19 pandemic. The data were collected at four different time points, 40
days before and during phase 1 and 3 of movement control order (MCO). The
period are from 17 January to 17 March 2020 and 18 March to 18 May 2020 for
before and during phase 1 and 29 March to 28 May 2021 and 1 June to 29 July
2021 for before and during phase 3. The time series linear regression (TSLM)
and quantile regression (QREG) methods were used. Crude Oil WTI Futures (WTI)
showed a linear relationship with FTSE Bursa Malaysia KLCI (KLSE) before phase
1 of MCO and acts as a safe haven asset during MCO of phase 1 and 3. Next, Barrick
Gold Corp (LGOLD) is a hedging asset for all phases of MCO except during phase
3 of the MCO and is a safe haven asset prior to MCO phase 1. Investors can
combine gold and stock market into their portfolio or invest in oil related
instruments to lower the risk of losses.
Keywords: Hedge asset; quantile
regression; safe haven asset; time series linear regression
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*Pengarang untuk surat-menyurat; email:
nurfiryal@ukm.edu.my
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