The stock market and the ringgit exchange rate: a note

Baharumshah, Ahmad Zubaidi; Masih, Mansur; Azali, M.

doi:10.1016/s0922-1425(02)00019-1

Cited by 17 publications

(24 citation statements)

References 49 publications

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“…Through co-integration test, we found the existence of long run relationship among variables. Furthermore, this result is consistent with earlier findings (Maysami et al, 2000;Kim, 2003;Rahman et al, 2009;Wongbanggpo et al, 2002;Baharumshah et al, 2002 In order to detect the short run relationships (elasticities) between the explainer's variables and stock market, we apply the VECM. This model enables us to detect the short run and long run relationships (elasticities) at the same time.…”

Section: Results Analysissupporting

confidence: 89%

“…Meanwhile, previous researchers found a relationship between financial performance and economic growth (Baharumshah et al, 2002;Wongbangpoet al, 2002;Silvia & Iqbal, 2011). In conjunction with the above www.ccsenet.org/ibr…”

Section: Methodsmentioning

confidence: 82%

“…This reduction was due to economic crisis in the USA. Previous research suggests that there is a closer relationship between the performance of financial market and economic growth (Baharumshah et al, 2002;Wongbangpo et al, 2002;Silvia & Iqbal, 2011). Others confirm that anything happening to financial market will influence the variation in economic activities, demand for real money, interest rate and subsequently, the value of domestic currency (Ibrahim & Wan Yusoff, 2001).…”

Section: Bursa Malaysia Stock Market and Stock Indexmentioning

confidence: 97%

“…Many studies have endeavoured the existence of co-integrating relationship between stock market and interest rate (For example, Maysami et al, 2000;Wongbanggpo et al, 2002;Kim, 2003;Baharumshah et al, 2002;Rahmanet al, 2009). All these studies also found the co-integration relationship between the aforementioned variables and the findings show the consistent relationship between stock market and interest rate.…”

Section: Literature Reviewmentioning

confidence: 99%

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Examining the Role of Fiscal Policy in Malaysian Stock Market

Bekhet

2012

IBR

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This paper analyzes the relationship between stock index and macroeconomic policies (fiscal and monetary) using quarterly data for Malaysia for 1999:Q1-2011:Q4. The change in stock index was used as a proxy for financial performance. The co-integration test utilizes to detect the existence of long run relationship between stock index and macroeconomic variables and develops a vector error correction model (VECM) to test the existence of short run relationship (elasticities) among the variables. The findings indicate that there exists long run relationship among stock index, fiscal and monetary tools. This indicates that fiscal and monetary tools play an important role in accelerating financial performance in Malaysia. However, monetary tools can work faster than fiscal tools. This result would give a signal to investors to strategize their investment decision in the short and long run.

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Section: Results Analysissupporting

confidence: 89%

Section: Methodsmentioning

confidence: 82%

Section: Bursa Malaysia Stock Market and Stock Indexmentioning

confidence: 97%

Section: Literature Reviewmentioning

confidence: 99%

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Examining the Role of Fiscal Policy in Malaysian Stock Market

Bekhet

2012

IBR

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“…Hatemi-J and Irandoust (2002) found that changes in stock markets lead exchange rates which support the portfolio approach. Baharumshah et al (2002) suggested that the stock market is an important determinant of exchange rate. However, Bahami-Oskooee and Sohrabian (1992) and Canova and De Nicolo (2000), failed to show any common trends between the exchange rate and the stock market.…”

Section: Literature Reviewmentioning

confidence: 99%

Causality between Exchange Rates and Stock Prices: Evidence from Malaysia and Thailand

Ooi¹,

Wafa²,

Lajuni³

et al. 2009

IJBM

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This study analyses the causal relationship between exchange rates and stock prices for Thailand and Malaysia. By using daily data from 1993 to 2003, this study attempts to examine the relationship between exchange rates and stock prices in Thailand and Malaysia during pre and post financial crisis. The paper also investigates the long-run relationship between the above-mentioned variables using Johansen-Juselius (1990) cointegration test and short-run dynamic causal relationship by using Toda-Yamamoto (1995) procedure. Likewise, variance decompositions (VDCs) analysis is employed to improve the predictable portion of exchange rate (stock price) changes on the forecast error variance in stock prices (exchange rates). Data from Thailand demonstrates the results predicted by the portfolio balance approach: stock prices lead exchange rates in both pre-crisis and post-crisis periods; however, Malaysian findings support portfolio approach in post-crisis.

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