Since 2014
Kesan Kemeruapan Kadar Pertukaran ke atas Pasaran Saham di Malaysia
Jurnal Ekonomi Malaysia
View Archive Info| Field | Value | |
| Title |
Kesan Kemeruapan Kadar Pertukaran ke atas Pasaran Saham di Malaysia
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| Creator |
Mohd Nor, Abu Hassan Shaari
Kogid, Mori Sarmidi, Tamat Isa, Zaidi |
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| Description |
ABSTRAKKajian tentang hubungan antara pasaran saham dan kadar pertukaran menjadi semakin penting sejak berlakunya krisis kewangan Asia pada tahun 1997 dan krisis kewangan global pada tahun 2008 yang membawa kepada kelembapan pasaran saham dan mata wang asing di kebanyakan ekonomi negara di dunia. Kajian ini cuba melihat hubungan antara kedua-dua pasaran ini dengan fokus kajian kepada kesan kemeruapan kadar pertukaran dan kesan kadar pertukaran ke atas pasaran saham di Malaysia. Menggunakan pendekatan ujian Johansen dengan perubahan struktur, VECM, penguraian varians dan tindak balas impuls bagi data bulanan bermula Januari 1991 – Ogos 2011, hasil kajian menunjukkan wujud hubungan kointegrasi antara pasaran saham dan kemeruapan kadar pertukaran. Hasil kajian juga menunjukkan kadar pertukaran dan kemeruapan kadar pertukaran merupakan penyebab kepada pasaransaham. Ini memberikan bukti bahawa kadar pertukaran dan kemeruapan kadar pertukaran memberikan kesan ke atas pasaran saham di Malaysia. Selain itu, kajian juga menunjukkan wujud limpahan kemeruapan daripada pasaran kadar pertukaran kepada pasaran saham dan sekaligus mencadangkan kewujudan integrasi antara kedua-dua pasaran ini. Walau bagaimanapun, kesan tersebut agak berbeza dalam tempoh masa yang berbeza. Sementara krisis ekonomi khususnya krisis kewangan mungkin memainkan peranan yang besar dalam mempengaruhi hubungan antara keduadua pasaran saham dan kadar pertukaran.Kata kunci: Kemeruapan; kointegrasi; perubahan struktur; REER; SPIABSTRACTThe study on the relationship between stock market and exchange rate have become more important since the occurance of the Asia financial crisis in 1997 and the global economic crisis in 2008 which bring to the slowdown in the stock market as well as the foreign currency in most of the countries in the world. This study tries to investigate the relationship between those two markets focusing on the impact of exchange rate volatility on the stock market in Malaysia. This paper uses the Johansen cointegration test approach with structural break, vector error correction model, variancedecomposion and impulse response function on the data set spanning from January 1991 to August 2011. The results show that there exist cointegrating relationship between stock market and exchange rate volatility. Further analysis shows that both exchange rate and exchange rate volatilitry Granger cause stock market. This empirical results show that exchange rate and exchange rate volatility have an impact on stock market in Malaysia. This study also give empirical evidence on the existance of volatility spillover effect from the exchange rate market to the stock market and implies that the two markets are integrated. However, the effect is time dependent and thus the relationship between these markets are influenced by the financial crisis.Keywords: Volatility; cointegration; structural change; REER, stock index
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| Publisher |
Universiti Kebangsaan Malaysia
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| Date |
2012-12-31
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article — |
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| Format |
application/pdf
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| Identifier |
http://ejournal.ukm.my/jem/article/view/2734
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| Source |
Jurnal Ekonomi Malaysia; Vol 46, No 2 (2012): Jurnal Ekonomi Malaysia
0126-1962 |
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| Language |
eng
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| Relation |
http://ejournal.ukm.my/jem/article/view/2734/1783
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