Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration

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Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration

This article re-examines the relationship of several macroeconomics variables with Malaysia Stock Market Index, KLCI. The paper applies Johansen (1988) procedure and vector error correction model (VECM) for symmetric cointegration, while threshold cointegration test proposed by Enders and Siklos (...

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Bibliographic Details
Main Authors:	Hakimah Nur Ahmad Hamidi, Norlin Khalid, Zulkefly Abdul Karim
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2018
Online Access:	http://journalarticle.ukm.my/19644/ http://journalarticle.ukm.my/19644/1/jeko_521-25.pdf

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