Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market
The study investigates causality between palm oil price, exchange rate and the Kuala Lumpur Composite Index (KLCI) based on the theory of wavelets on the basis of monthly data from the period January 1990 - December 2012. This methodology enables us to identify that the causality between these econo...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Eurasian Publications
2014
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/44502/ http://irep.iium.edu.my/44502/4/EJEF-2.pdf |
| _version_ | 1848782618392264704 |
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| author | Saiti, Buerhan Ali, Azlan Abdullah, Naziruddin Sajilan, Sulaiman |
| author_facet | Saiti, Buerhan Ali, Azlan Abdullah, Naziruddin Sajilan, Sulaiman |
| author_sort | Saiti, Buerhan |
| building | IIUM Repository |
| collection | Online Access |
| description | The study investigates causality between palm oil price, exchange rate and the Kuala Lumpur Composite Index (KLCI) based on the theory of wavelets on the basis of monthly data from the period January 1990 - December 2012. This methodology enables us to identify that the causality between these economic variables at different time intervals. This wavelet decomposition also provides additional evidence to the “reverse causality” theory. We found that the wavelet cross-correlations between stock price and exchange rate skewed to the right at all levels with negative significant correlations which implies that the exchange rate leads the stock price. In the case of stock and commodity prices, there is no significant wavelet-cross- correlation at first four levels. However, the wavelet cross-correlations skewed to the left at level 5 which implies that the stock price leads commodity price in the long-run. Finally, there is no significant wavelet cross-correlations at all levels as long as we concern between commodity price and exchange rate. It implies that there is no lead-lag relationship between commodity price and exchange rate.
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| first_indexed | 2025-11-14T16:08:19Z |
| format | Article |
| id | iium-44502 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T16:08:19Z |
| publishDate | 2014 |
| publisher | Eurasian Publications |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-445022015-09-01T03:02:12Z http://irep.iium.edu.my/44502/ Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market Saiti, Buerhan Ali, Azlan Abdullah, Naziruddin Sajilan, Sulaiman HB221 Price The study investigates causality between palm oil price, exchange rate and the Kuala Lumpur Composite Index (KLCI) based on the theory of wavelets on the basis of monthly data from the period January 1990 - December 2012. This methodology enables us to identify that the causality between these economic variables at different time intervals. This wavelet decomposition also provides additional evidence to the “reverse causality” theory. We found that the wavelet cross-correlations between stock price and exchange rate skewed to the right at all levels with negative significant correlations which implies that the exchange rate leads the stock price. In the case of stock and commodity prices, there is no significant wavelet-cross- correlation at first four levels. However, the wavelet cross-correlations skewed to the left at level 5 which implies that the stock price leads commodity price in the long-run. Finally, there is no significant wavelet cross-correlations at all levels as long as we concern between commodity price and exchange rate. It implies that there is no lead-lag relationship between commodity price and exchange rate. Eurasian Publications 2014 Article PeerReviewed application/pdf en http://irep.iium.edu.my/44502/4/EJEF-2.pdf Saiti, Buerhan and Ali, Azlan and Abdullah, Naziruddin and Sajilan, Sulaiman (2014) Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market. Eurasian Journal of Economics and Finance, 2 (1). pp. 13-27. ISSN 2148-0192 http://eurasianpublications.com/ |
| spellingShingle | HB221 Price Saiti, Buerhan Ali, Azlan Abdullah, Naziruddin Sajilan, Sulaiman Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market |
| title | Palm oil price, exchange rate, and stock market:
a wavelet analysis on the Malaysian market
|
| title_full | Palm oil price, exchange rate, and stock market:
a wavelet analysis on the Malaysian market
|
| title_fullStr | Palm oil price, exchange rate, and stock market:
a wavelet analysis on the Malaysian market
|
| title_full_unstemmed | Palm oil price, exchange rate, and stock market:
a wavelet analysis on the Malaysian market
|
| title_short | Palm oil price, exchange rate, and stock market:
a wavelet analysis on the Malaysian market
|
| title_sort | palm oil price, exchange rate, and stock market:
a wavelet analysis on the malaysian market |
| topic | HB221 Price |
| url | http://irep.iium.edu.my/44502/ http://irep.iium.edu.my/44502/ http://irep.iium.edu.my/44502/4/EJEF-2.pdf |