Domestic Macroeconomic Shocks and International Disturbances on the Malaysian Stock Market
This paper examines the impacts of the domestic macroeconomic shocks and international disturbances on the Malaysian stock market. The priority objective of this paper is to determine the existence, but not the strength of the causal relationship among the variables. Henceforth, domestic macroeconom...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2008
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| Online Access: | https://eprints.nottingham.ac.uk/24000/ |
| _version_ | 1848792679281852416 |
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| author | Yeap, Hong Chen |
| author_facet | Yeap, Hong Chen |
| author_sort | Yeap, Hong Chen |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This paper examines the impacts of the domestic macroeconomic shocks and international disturbances on the Malaysian stock market. The priority objective of this paper is to determine the existence, but not the strength of the causal relationship among the variables. Henceforth, domestic macroeconomic shocks and international disturbances are determined separately using two models. The long-run relationship is determined using Johansen-Juselius multivariate cointegration analysis. The short-run dynamic fluctuations are captured using Granger causality test under Vector Error-correction model (VECM) framework. The results suggest that real output plays an important role in generating macroeconomic fluctuations, while international disturbances originated from the US market are the most influential. From a policy point of view, policy designs should be focused on real output growth and alignment of policies with those of the US in alleviating domestic fluctuations. |
| first_indexed | 2025-11-14T18:48:14Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-24000 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:48:14Z |
| publishDate | 2008 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-240002018-01-30T22:12:28Z https://eprints.nottingham.ac.uk/24000/ Domestic Macroeconomic Shocks and International Disturbances on the Malaysian Stock Market Yeap, Hong Chen This paper examines the impacts of the domestic macroeconomic shocks and international disturbances on the Malaysian stock market. The priority objective of this paper is to determine the existence, but not the strength of the causal relationship among the variables. Henceforth, domestic macroeconomic shocks and international disturbances are determined separately using two models. The long-run relationship is determined using Johansen-Juselius multivariate cointegration analysis. The short-run dynamic fluctuations are captured using Granger causality test under Vector Error-correction model (VECM) framework. The results suggest that real output plays an important role in generating macroeconomic fluctuations, while international disturbances originated from the US market are the most influential. From a policy point of view, policy designs should be focused on real output growth and alignment of policies with those of the US in alleviating domestic fluctuations. 2008 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/24000/1/yeaphongchen.pdf Yeap, Hong Chen (2008) Domestic Macroeconomic Shocks and International Disturbances on the Malaysian Stock Market. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Yeap, Hong Chen Domestic Macroeconomic Shocks and International Disturbances on the Malaysian Stock Market |
| title | Domestic Macroeconomic Shocks and International Disturbances on the Malaysian Stock Market |
| title_full | Domestic Macroeconomic Shocks and International Disturbances on the Malaysian Stock Market |
| title_fullStr | Domestic Macroeconomic Shocks and International Disturbances on the Malaysian Stock Market |
| title_full_unstemmed | Domestic Macroeconomic Shocks and International Disturbances on the Malaysian Stock Market |
| title_short | Domestic Macroeconomic Shocks and International Disturbances on the Malaysian Stock Market |
| title_sort | domestic macroeconomic shocks and international disturbances on the malaysian stock market |
| url | https://eprints.nottingham.ac.uk/24000/ |