Since 2014
Dynamic Links between Exchange Rates and Stock Prices in Malaysia: An Asymmetric Cointegration analysis
Journal of Economics and Political Economy
View Archive Info| Field | Value | |
| Title |
Dynamic Links between Exchange Rates and Stock Prices in Malaysia: An Asymmetric Cointegration analysis
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| Creator |
ALI, Hamisu Sadi; Faculty of Economics & Management, Universiti Putra Malaysia (UPM),43400, Selangor, Darul Ehsan.Malaysia.Mobile: +60169580430 Malaysia.
MUKHTAR, Umar; Department of Agribusiness & Information Systems, Faculty of Agriculture, Universiti Putra Malaysia, 43400 Serdang, Selangor-Malaysia. and Department of Agricultural Economics and Extension, Faculty of Agriculture, Federal University Dutse, P.M.B.7156, off Ibrahim Aliyu bye-Pass, Jigawa State-Nigeria MANIAM, Ganthi Selvi; Department of Economics, Faculty of Economics and Management Universiti Putra Malaysia, 43400 Serdang, Selangor-Malaysia |
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| Description |
Abstract. The present article used a monthly data and applied Enders and Siklos (2001) asymmetric cointegration analysis to examine the impact of exchange rates on stock prices in Malaysia for the period of 1999-2014. The result suggests that variables were cointegrated based on Engle-granger two step technique. Moving to threshold auto regressive (TAR) and momentumthreshold auto regressive (M-TAR) the finding reveals that based on the latter variables were asymmetrically cointegrated as null hypothesis of no cointegration was rejected at 1% significance level based on Enders and Siklos (2001), while the former shows that variables do not have long-run relationship and the speed of adjustment is symmetric. This signifies that increase in the prices of shares in Malaysian stock market could lead to Malaysian Ringgit appreciation over other major global currencies. The stocks will become more expensive and discourage foreign investors’ participation in the market which inhibits the influx of stable foreign capital into Malaysian financial system. The implication is that regulators should ensure that adequate and efficient policies are put in place in order to keep the Ringgit exchange rates at optimal level so as to enhance the participation of foreign investors and improve market competitiveness.Keywords. Stock prices, Exchange rates, Asymmetric, Cointegration, Malaysia.JEL. F18, F21, F23, O47.
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| Publisher |
Journal of Economics and Political Economy
Journal of Economics and Political Economy |
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| Contributor |
—
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| Date |
2015-09-18
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://www.kspjournals.org/index.php/JEPE/article/view/357
10.1453/jepe.v2i3.357 |
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| Source |
Journal of Economics and Political Economy; Vol 2, No 3 (2015): September; 411-417
Journal of Economics and Political Economy; Vol 2, No 3 (2015): September; 411-417 2148-8347 |
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| Language |
eng
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| Relation |
http://www.kspjournals.org/index.php/JEPE/article/view/357/555
http://www.kspjournals.org/index.php/JEPE/article/downloadSuppFile/357/120 |
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| Rights |
Copyright (c) 2015 Journal of Economics and Political Economy
http://creativecommons.org/licenses/by-nc/4.0 |
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