Hubungan Jangka Panjang dan Interaksi Dinamik antara Pasaran Saham dengan Aktiviti Ekonomi di Malaysia
Long-Term Relationships and Dynamic Interactions between Stock Markets and Economic Activities in Malaysia

Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600, UKM Bangi Selangor, Malaysia

morikogid@gmail.com

Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600, UKM Bangi Selangor, Malaysia

ahassan@ukm.my

Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600, UKM Bangi Selangor, Malaysia

tamat@ukm.my

Fakulti Pengurusan dan Ekonomi
Universiti Malaysia Terengganu
21030 Kuala Terengganu,Terengganu, Malaysia

kumar@umt.edu.my

Abstract

This study examines the long-run cointegration and short-run dynamic interactions between stock market and economic activity in Malaysia. By using monthly data from January 1990 to November 2011, the empirical test results show potential cointegrating relationship between stock market and economic activity. In our study, we try to improve the cointegration test procedure by taking into account several important features such as structural breaks, asymmetric effects, and nonlinear process in addition to the use of various high power techniques for better testing such as Gregory-Hansen, Johansen-Mosconi-Nielsen, Bierens, Pesaran-Shin-Smith and Enders-Siklos approaches in addressing the weaknesses found in the traditional cointegration testing techniques. The test results based on Toda-Yamamoto and ARDL-ECM approaches also show a one way Granger causal relationship from economic activity to the stock market in Malaysia. This gives a general overview that economic activity may potentially serve as an indicator and important variable in predicting the future stock market behaviour

Keywords

Aktiviti Ekonomi; Interaksi Dinamik; Kesan Asimetrik; Kointegrasi Jangka Panjang; Penyebab Granger; Perubahan Struktur

Citation

Kogid, M., Md Nor, A. H. S., Sarmidi, T., & Loganathan, N. (2012). Hubungan Jangka Panjang dan Interaksi Dinamik antara Pasaran Saham dengan Aktiviti Ekonomi di Malaysia. Jurnal Pengurusan, 36, 149–160.

@article{kogid2012hubungan,
  title={Hubungan Jangka Panjang dan Interaksi Dinamik antara Pasaran Saham dengan Aktiviti Ekonomi di Malaysia},
  author={Kogid, Mori and Md Nor, Abu Hassan Shaari and Sarmidi, Tamat and Loganathan, Nanthakumar},
  journal={Jurnal Pengurusan},
 

volume={36},
  number={},
  pages={149—160},
  year={2012},
  doi={},
  publisher={Penerbit UKM},
}

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36 (2012) 149 – 160

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