The response of sectoral returns to macroeconomic shocks in the Malaysian stock market

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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Bibliographic Details
Main Authors: Law, Siong Hook, Ibrahim, Mansor
Format: Article
Language:English
Published: Faculty of Economics & Administration, University of Malaya and Malaysian Economic Association 2014
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

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