The response of sectoral returns to macroeconomic shocks in the Malaysian stock market
This paper examines the responses of sectoral returns to shocks in five macroeconomic indicators using the vector autoregressive (VAR) model and generalised impulse response functions for an emerging stock market, Malaysia. The empirical results suggest that, while the temporal responses of sectoral...
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| Format: | Article |
| Language: | English |
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Faculty of Economics & Administration, University of Malaya and Malaysian Economic Association
2014
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| Online Access: | http://psasir.upm.edu.my/id/eprint/35803/ http://psasir.upm.edu.my/id/eprint/35803/1/The%20response%20of%20sectoral%20returns%20to%20macroeconomic%20shocks%20in%20the%20Malaysian%20stock%20market.pdf |
| _version_ | 1848848155604418560 |
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| author | Law, Siong Hook Ibrahim, Mansor |
| author_facet | Law, Siong Hook Ibrahim, Mansor |
| author_sort | Law, Siong Hook |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This paper examines the responses of sectoral returns to shocks in five macroeconomic indicators using the vector autoregressive (VAR) model and generalised impulse response functions for an emerging stock market, Malaysia. The empirical results suggest that, while the temporal responses of sectoral returns to macroeconomic shocks are relatively identical, their initial responses are slightly different. Monetary policy and exchange rate shocks have the largest effect on the finance sector, whereas output and exchange rate shocks exert most influence on the property sector. Comparatively, among the shocks, monetary shocks (i.e., money supply, interest rate and exchange rate shocks) are more influential in influencing sectoral returns than goods market shocks (i.e., output and consumer price shocks). |
| first_indexed | 2025-11-15T09:30:00Z |
| format | Article |
| id | upm-35803 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T09:30:00Z |
| publishDate | 2014 |
| publisher | Faculty of Economics & Administration, University of Malaya and Malaysian Economic Association |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-358032016-11-01T05:04:10Z http://psasir.upm.edu.my/id/eprint/35803/ The response of sectoral returns to macroeconomic shocks in the Malaysian stock market Law, Siong Hook Ibrahim, Mansor This paper examines the responses of sectoral returns to shocks in five macroeconomic indicators using the vector autoregressive (VAR) model and generalised impulse response functions for an emerging stock market, Malaysia. The empirical results suggest that, while the temporal responses of sectoral returns to macroeconomic shocks are relatively identical, their initial responses are slightly different. Monetary policy and exchange rate shocks have the largest effect on the finance sector, whereas output and exchange rate shocks exert most influence on the property sector. Comparatively, among the shocks, monetary shocks (i.e., money supply, interest rate and exchange rate shocks) are more influential in influencing sectoral returns than goods market shocks (i.e., output and consumer price shocks). Faculty of Economics & Administration, University of Malaya and Malaysian Economic Association 2014-12 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/35803/1/The%20response%20of%20sectoral%20returns%20to%20macroeconomic%20shocks%20in%20the%20Malaysian%20stock%20market.pdf Law, Siong Hook and Ibrahim, Mansor (2014) The response of sectoral returns to macroeconomic shocks in the Malaysian stock market. Malaysian Journal of Economic Studies, 51 (2). pp. 183-189. ISSN 1511-4554 http://mjes.um.edu.my/811-990 |
| spellingShingle | Law, Siong Hook Ibrahim, Mansor The response of sectoral returns to macroeconomic shocks in the Malaysian stock market |
| title | The response of sectoral returns to macroeconomic shocks in the Malaysian stock market |
| title_full | The response of sectoral returns to macroeconomic shocks in the Malaysian stock market |
| title_fullStr | The response of sectoral returns to macroeconomic shocks in the Malaysian stock market |
| title_full_unstemmed | The response of sectoral returns to macroeconomic shocks in the Malaysian stock market |
| title_short | The response of sectoral returns to macroeconomic shocks in the Malaysian stock market |
| title_sort | response of sectoral returns to macroeconomic shocks in the malaysian stock market |
| url | http://psasir.upm.edu.my/id/eprint/35803/ http://psasir.upm.edu.my/id/eprint/35803/ http://psasir.upm.edu.my/id/eprint/35803/1/The%20response%20of%20sectoral%20returns%20to%20macroeconomic%20shocks%20in%20the%20Malaysian%20stock%20market.pdf |