Dynamics of consumer expenditure and stock market prices and uncertainty: Malaysian evidence
The present paper analyzes the role of stock market, more specifically real stock prices and stock market uncertainty/volatility, on private consumption behavior for an emerging market, Malaysia, using quarterly data from 1991 to 2009. Employing the autoregressive distributed lag approach to cointeg...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
World Scientific Publishing
2013
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| Online Access: | http://psasir.upm.edu.my/id/eprint/28352/ http://psasir.upm.edu.my/id/eprint/28352/1/Dynamics%20of%20consumer%20expenditure%20and%20stock%20market%20prices%20and%20uncertainty%20Malaysian%20evidence.pdf |
| _version_ | 1848846094026407936 |
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| author | Ibrahim, Mansor Law, Siong Hook |
| author_facet | Ibrahim, Mansor Law, Siong Hook |
| author_sort | Ibrahim, Mansor |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | The present paper analyzes the role of stock market, more specifically real stock prices and stock market uncertainty/volatility, on private consumption behavior for an emerging market, Malaysia, using quarterly data from 1991 to 2009. Employing the autoregressive distributed lag approach to cointegration test, the paper establishes a long-run equilibrium that ties private consumption to its determinants — real income, real stock prices, real lending rate, and stock market volatility. In the long run, the presence of the stock market wealth effect is documented. At the same time, the stock market volatility is also noted to depress private consumption particularly when the volatility is at the degree as observed during the Asian crisis. The authors further note the short-run influences of real stock price changes on consumption growth and the adjustment of private consumption to the long-run level when it is modeled in an error-correction setting. Our simple simulation indicates that the drop in the private consumption due to the decline in stock market wealth post-crisis is substantial, amounting to 2.7% of average post-crisis gross domestic product. |
| first_indexed | 2025-11-15T08:57:14Z |
| format | Article |
| id | upm-28352 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:57:14Z |
| publishDate | 2013 |
| publisher | World Scientific Publishing |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-283522015-12-09T08:31:25Z http://psasir.upm.edu.my/id/eprint/28352/ Dynamics of consumer expenditure and stock market prices and uncertainty: Malaysian evidence Ibrahim, Mansor Law, Siong Hook The present paper analyzes the role of stock market, more specifically real stock prices and stock market uncertainty/volatility, on private consumption behavior for an emerging market, Malaysia, using quarterly data from 1991 to 2009. Employing the autoregressive distributed lag approach to cointegration test, the paper establishes a long-run equilibrium that ties private consumption to its determinants — real income, real stock prices, real lending rate, and stock market volatility. In the long run, the presence of the stock market wealth effect is documented. At the same time, the stock market volatility is also noted to depress private consumption particularly when the volatility is at the degree as observed during the Asian crisis. The authors further note the short-run influences of real stock price changes on consumption growth and the adjustment of private consumption to the long-run level when it is modeled in an error-correction setting. Our simple simulation indicates that the drop in the private consumption due to the decline in stock market wealth post-crisis is substantial, amounting to 2.7% of average post-crisis gross domestic product. World Scientific Publishing 2013-12 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/28352/1/Dynamics%20of%20consumer%20expenditure%20and%20stock%20market%20prices%20and%20uncertainty%20Malaysian%20evidence.pdf Ibrahim, Mansor and Law, Siong Hook (2013) Dynamics of consumer expenditure and stock market prices and uncertainty: Malaysian evidence. Singapore Economic Review, 58 (4). art. no. 1350025. pp. 1-17. ISSN 0217-5908; ESSN: 1793-6837 http://www.worldscientific.com/doi/abs/10.1142/S0217590813500252 10.1142/S0217590813500252 |
| spellingShingle | Ibrahim, Mansor Law, Siong Hook Dynamics of consumer expenditure and stock market prices and uncertainty: Malaysian evidence |
| title | Dynamics of consumer expenditure and stock market prices and uncertainty: Malaysian evidence |
| title_full | Dynamics of consumer expenditure and stock market prices and uncertainty: Malaysian evidence |
| title_fullStr | Dynamics of consumer expenditure and stock market prices and uncertainty: Malaysian evidence |
| title_full_unstemmed | Dynamics of consumer expenditure and stock market prices and uncertainty: Malaysian evidence |
| title_short | Dynamics of consumer expenditure and stock market prices and uncertainty: Malaysian evidence |
| title_sort | dynamics of consumer expenditure and stock market prices and uncertainty: malaysian evidence |
| url | http://psasir.upm.edu.my/id/eprint/28352/ http://psasir.upm.edu.my/id/eprint/28352/ http://psasir.upm.edu.my/id/eprint/28352/ http://psasir.upm.edu.my/id/eprint/28352/1/Dynamics%20of%20consumer%20expenditure%20and%20stock%20market%20prices%20and%20uncertainty%20Malaysian%20evidence.pdf |