Paper Title :The Impact of Oil Price Shocks on Stock Market Returns in Malaysia: The ARDL Approach
Author :King You Soon, Qaiser Munir, Sook Ching Kok
Article Citation :King You Soon ,Qaiser Munir ,Sook Ching Kok ,
(2018 ) " The Impact of Oil Price Shocks on Stock Market Returns in Malaysia: The ARDL Approach " ,
International Journal of Management and Applied Science (IJMAS) ,
pp. 29-34,
Volume-4,Issue-11
Abstract : This study analyses the impact of oil price shocks on Malaysia stock market using daily time series data for the
period of 1987-2017. The Autoregressive Distributed Lag (ARDL) approach and Toda Yamamoto (1995) causality test are
used to aid in the analyses of the study. Through the ARDL approach, the bound test results indicate the existence of a longrun
relationship between crude oil and stock market returns. This study has discovered that oil price shocks have significant
positive impact on the Malaysia stock market both in the long-run and short-run. On the other hand, the causality test reveals
a unidirectional causality running from oil return to stock return. These results have important implications for the decisionmaking
by policymakers.
Keywords - Oil price shocks, Stock market return, Autoregressive Distributed Lag, Toda-Yamamoto
Type : Research paper
Published : Volume-4,Issue-11
DOIONLINE NO - IJMAS-IRAJ-DOIONLINE-14367
View Here
Copyright: © Institute of Research and Journals
|
|
| |
|
PDF |
| |
Viewed - 67 |
| |
Published on 2019-02-04 |
|