Keberkesanan Dasar Kadar Pertukaran Tetap dalam Mengkesampingkan Faktor Luar di BSKL

Tamat Sarmidi, Abu Hassan Shaari Mohd. Nor

Abstract


Tujuan utama kajian ini ialah untuk menganalisis keberkesanan dasar kawalan modal terpilih Malaysia ke atas kesan integrasi dan kemasukan pengaruh luar ke pasaran ekuiti di Malaysia. Kajian empirik dijalankan dalam dua masa berbeza iaitu sebelum dasar kawalan modal (Januari 1995 hingga Met 1997) dan selepas dasar kawalan modal (September 1998 hingga Dtsember 1999). Kajian empirik telah dijalankan menggunakan kaedah Vektor Autoregresif (VAR) merangkumi kotntegrasi multivariate Johansen-Juselius, Model Vektor Pembetulan-Ralat (VECM), dan Fungsi Tindak Balas (IRFS). Kaedah ekonometrik itu mampu untuk mengesan kemasukan pengaruh asing kepasaran saham domestik melalui terma pembetulan ralat (ECT), jika perlu. Keputusan kajian menunjukkan bahawa selepas dasar kawalan modal integrasi antara pasaran ekuiti masih dikekalkan dengan tindakbalas yang lebih meliar.


ABSTRACT
The main purpose of this paper is to analyze the impact of Malaysian selective capital control policy on the international transmission of stock price movement and international market integration. Empirical study was done on two different time regimes, i.e. before capital control (January 1995 until May 1997) and after capital control (September 1998 until December 1999). Vector Autoregressive (VAR) model including Johansen-Juselius multivariate cointegration test, vector error-correction model (VECM), and impulse response functions (IRFS) were utilised. The above econometric methods together wuli ECTs are capable of detecting the impact of external forces on domestic stock markets. The results showed that after the capital control policy was imposed, the integration between equity markets IS still maintained witlt a greater and wilder responses.


Full Text:

PDF

Refbacks

  • There are currently no refbacks.


DISCLAIMER

The editors and publisher of Jurnal Pengurusan have made every possible effort to verify the accuracy of all information contained in this publication. Any opinions, discussions, views and recommendations expressed in the article are solely those of the authors and are not of Jurnal Pengurusan, its editors or its publisher. Jurnal Pengurusan, its editors and its publisher will not be liable for any direct, indirect, consequential, special, exemplary, or other damages arising therefrom.