Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach
Oil is one of the most important commodities and its impact on the global economy is evident through many studies. This study is focused on examining the nine sectors of stock returns in Malaysia. The main objective is to investigate the asymmetric effects of oil price changes (oil price increases a...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2019
|
| Online Access: | http://journalarticle.ukm.my/14136/ http://journalarticle.ukm.my/14136/1/jeko_53%283%29-3.pdf |
| _version_ | 1848813471129403392 |
|---|---|
| author | Chiew, Eng Woo Sek, Siok Kun |
| author_facet | Chiew, Eng Woo Sek, Siok Kun |
| author_sort | Chiew, Eng Woo |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | Oil is one of the most important commodities and its impact on the global economy is evident through many studies. This study is focused on examining the nine sectors of stock returns in Malaysia. The main objective is to investigate the asymmetric effects of oil price changes (oil price increases and decreases) on the sectoral stock returns in Malaysia. Besides, this study also examines the spillover effect among the sectoral stock returns in Malaysia relative to the effects of other factors. By using monthly data from 2000 to 2017, the Non-linear Autoregressive Distributed Lags (NARDL) model is applied to model the asymmetric effect of oil price changes. The study detected the asymmetric effects of oil price changes with negative effect dominant, the positive effect and oil price effect is larger in the oil intensive sectors. However, the oil price is not the main determinant factor. The main factors determining the stock returns are exchange rate, Malaysia stock market return, world stock return and sectoral spillover effect. Among these factors, the exchange rate is the main factor that influenced the stock return. |
| first_indexed | 2025-11-15T00:18:43Z |
| format | Article |
| id | oai:generic.eprints.org:14136 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T00:18:43Z |
| publishDate | 2019 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org:141362020-02-07T10:49:57Z http://journalarticle.ukm.my/14136/ Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach Chiew, Eng Woo Sek, Siok Kun Oil is one of the most important commodities and its impact on the global economy is evident through many studies. This study is focused on examining the nine sectors of stock returns in Malaysia. The main objective is to investigate the asymmetric effects of oil price changes (oil price increases and decreases) on the sectoral stock returns in Malaysia. Besides, this study also examines the spillover effect among the sectoral stock returns in Malaysia relative to the effects of other factors. By using monthly data from 2000 to 2017, the Non-linear Autoregressive Distributed Lags (NARDL) model is applied to model the asymmetric effect of oil price changes. The study detected the asymmetric effects of oil price changes with negative effect dominant, the positive effect and oil price effect is larger in the oil intensive sectors. However, the oil price is not the main determinant factor. The main factors determining the stock returns are exchange rate, Malaysia stock market return, world stock return and sectoral spillover effect. Among these factors, the exchange rate is the main factor that influenced the stock return. Penerbit Universiti Kebangsaan Malaysia 2019 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/14136/1/jeko_53%283%29-3.pdf Chiew, Eng Woo and Sek, Siok Kun (2019) Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach. Jurnal Ekonomi Malaysia, 53 (3). pp. 1-19. ISSN 0127-1962 http://www.ukm.my/fep/jem/content/2019-3.html |
| spellingShingle | Chiew, Eng Woo Sek, Siok Kun Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach |
| title | Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach |
| title_full | Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach |
| title_fullStr | Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach |
| title_full_unstemmed | Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach |
| title_short | Examining asymmetric oil price exposure to assets return in Malaysia: a nonlinear ARDL approach |
| title_sort | examining asymmetric oil price exposure to assets return in malaysia: a nonlinear ardl approach |
| url | http://journalarticle.ukm.my/14136/ http://journalarticle.ukm.my/14136/ http://journalarticle.ukm.my/14136/1/jeko_53%283%29-3.pdf |