Hubungan Jangka Panjang dan Interaksi Dinamik antara Pasaran Saham dengan Aktiviti Ekonomi di Malaysia (Long-Term Relationships and Dynamic Interactions between Stock Markets and Economic Activities in Malaysia)

Mori Kogid, Abu Hassan Shaari Mohd Nor, Tamat Sarmidi, Nanthakumar Loganathan

Abstract


ABSTRAK

Kajian ini menguji hubungan kointegrasi jangka panjang dan interaksi dinamik hubungan jangka pendek antara pasaran saham dengan aktiviti ekonomi di Malaysia. Dengan menggunakan data bulanan bermula Januari 1990 hingga November 2011, hasil ujian empirikal menunjukkan adanya potensi hubungan kointegrasi antara pasaran saham dengan aktiviti ekonomi. Dalam kajian ini, prosedur pengujian kointegrasi ditambah baik dengan mengambil kira beberapa ciri penting seperti perubahan struktur, kesan asimetrik dan proses tak linear di samping penggunaan pelbagai teknik pengujian yang lebih baik dan berkuasa tinggi seperti pendekatan Gregory-Hansen, Johansen-Mosconi-Nielsen, Bierens, Pesaran-Shin-Smith dan Enders-Siklos dalam mengatasi kelemahan yang terdapat dalam teknik-teknik pengujian kointegrasi secara tradisional. Hasil ujian berdasarkan pendekatan Toda-Yamamoto dan ARDL-ECM juga menunjukkan wujud hubungan penyebab Granger sehala daripada aktiviti ekonomi kepada pasaran saham di Malaysia. Ini memberikan gambaran umum bahawa aktiviti ekonomi mungkin berpotensi sebagai indikator dan pemboleh ubah penting dalam meramal gelagat pasaran saham pada masa depan.

ABSTRACT

This study examines the long-run cointegration and short-run dynamic interactions between stock market and economic activity in Malaysia. By using monthly data from January 1990 to November 2011, the empirical test results show potential cointegrating relationship between stock market and economic activity. In our study, we try to improve the cointegration test procedure by taking into account several important features such as structural breaks, asymmetric effects, and nonlinear process in addition to the use of various high power techniques for better testing such as Gregory-Hansen, Johansen-Mosconi-Nielsen, Bierens, Pesaran-Shin-Smith and Enders-Siklos approaches in addressing the weaknesses found in the traditional cointegration testing techniques. The test results based on Toda-Yamamoto and ARDL-ECM approaches also show a one way Granger causal relationship from economic activity to the stock market in Malaysia. This gives a general overview that economic activity may potentially serve as an indicator and important variable in predicting the future stock market behaviour.


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