Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia
Farmer hypothesised that there is a linear long-run relationship between the movement of the stock market and movement in the unemployment rate, and there is a unidirectional causality running from stock market to unemployment rate. In this study we test the Farmer hypothesis by using Malaysia’s dai...
| Main Authors: | , , , , |
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| Format: | Article |
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Inderscience Publishers
2023
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| Online Access: | http://psasir.upm.edu.my/id/eprint/108632/ |
| _version_ | 1848865183626166272 |
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| author | Habibullah, Muzafar Shah Saari, Mohd Yusof Lau, Evan Din, Badariah Anuar Shah, Bali Mohamad |
| author_facet | Habibullah, Muzafar Shah Saari, Mohd Yusof Lau, Evan Din, Badariah Anuar Shah, Bali Mohamad |
| author_sort | Habibullah, Muzafar Shah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | Farmer hypothesised that there is a linear long-run relationship between the movement of the stock market and movement in the unemployment rate, and there is a unidirectional causality running from stock market to unemployment rate. In this study we test the Farmer hypothesis by using Malaysia’s daily data on stock price and unemployment rate during the COVID-19 pandemic. We performed unit root, cointegration and short-run as well long-run non-causality tests between the stock market and unemployment rate using high frequency data for the period January to October 2020. Our results suggest that both stock market and unemployment rate are non-stationary and cointegrated. The causality test results suggest that using shorter lag, Farmer hypothesis is rejected while at longer lags, Farmer hypothesis cannot be rejected. |
| first_indexed | 2025-11-15T14:00:40Z |
| format | Article |
| id | upm-108632 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-15T14:00:40Z |
| publishDate | 2023 |
| publisher | Inderscience Publishers |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-1086322024-08-12T06:50:25Z http://psasir.upm.edu.my/id/eprint/108632/ Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia Habibullah, Muzafar Shah Saari, Mohd Yusof Lau, Evan Din, Badariah Anuar Shah, Bali Mohamad Farmer hypothesised that there is a linear long-run relationship between the movement of the stock market and movement in the unemployment rate, and there is a unidirectional causality running from stock market to unemployment rate. In this study we test the Farmer hypothesis by using Malaysia’s daily data on stock price and unemployment rate during the COVID-19 pandemic. We performed unit root, cointegration and short-run as well long-run non-causality tests between the stock market and unemployment rate using high frequency data for the period January to October 2020. Our results suggest that both stock market and unemployment rate are non-stationary and cointegrated. The causality test results suggest that using shorter lag, Farmer hypothesis is rejected while at longer lags, Farmer hypothesis cannot be rejected. Inderscience Publishers 2023 Article PeerReviewed Habibullah, Muzafar Shah and Saari, Mohd Yusof and Lau, Evan and Din, Badariah and Anuar Shah, Bali Mohamad (2023) Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia. International Journal of Economic Policy in Emerging Economies, 17 (2). 239 - 255. ISSN 1752-0452; ESSN: 1752-0460 https://www.inderscience.com/offers.php?id=129787 10.1504/ijepee.2023.129787 |
| spellingShingle | Habibullah, Muzafar Shah Saari, Mohd Yusof Lau, Evan Din, Badariah Anuar Shah, Bali Mohamad Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia |
| title | Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia |
| title_full | Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia |
| title_fullStr | Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia |
| title_full_unstemmed | Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia |
| title_short | Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia |
| title_sort | testing for farmer stock market-unemployment hypothesis during the covid-19 pandemic in malaysia |
| url | http://psasir.upm.edu.my/id/eprint/108632/ http://psasir.upm.edu.my/id/eprint/108632/ http://psasir.upm.edu.my/id/eprint/108632/ |