The dynamic relationships between cash and futures market: the Malaysian experience under a shift from flexible to fixed exchange regimes
The purpose of this study is to examine the dynamic relationships between the Kuala Lumpur Stock Exchange Composite Index (KLSE CI) (currently known as FTSE Bursa Malaysia KLCI) and the Kuala Lumpur Stock Exchange Composite Index Futures (KLSE CI Futures), spot month futures contract under a shift f...
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| Format: | Article |
| Language: | English |
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Serials Publications
2015
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| Online Access: | http://psasir.upm.edu.my/id/eprint/46544/ http://psasir.upm.edu.my/id/eprint/46544/1/The%20dynamic%20relationships%20between%20cash%20and%20futures%20market%20the%20Malaysian%20experience%20under%20a%20shift%20from%20flexible%20to%20fixed%20exchange%20regimes.pdf |
| _version_ | 1848850683432796160 |
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| author | Wong, Mei Foong Goh, Han Hwa Thai, Siew Bee Ong, Tze San |
| author_facet | Wong, Mei Foong Goh, Han Hwa Thai, Siew Bee Ong, Tze San |
| author_sort | Wong, Mei Foong |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | The purpose of this study is to examine the dynamic relationships between the Kuala Lumpur Stock Exchange Composite Index (KLSE CI) (currently known as FTSE Bursa Malaysia KLCI) and the Kuala Lumpur Stock Exchange Composite Index Futures (KLSE CI Futures), spot month futures contract under a shift from flexible to fixed exchange regimes. The VAR model of Johansen-Juselius multivariate cointegration test, multivariate Granger-Causality test are applied to capture the dynamic linkages between KLSE CI and KLSE CI Futures in the periods of pre- and during the Asian currency crisis under flexible exchange regime and after the crisis fixed exchange regime. The empirical results of this study display that the KLSE CI and KLSE CI Futures are cointegrated and there is long run causality between KLSE CI and KLSE CI Futures in the three sub-sample periods. In the short run, there are evidences of contemporaneous causality running between the variables. The result exhibits that only the KLSE CI does "Granger" causes the KLSE CI Futures in the first sub-sample period. In the second sub-sample period, the KLSE CI Futures "Granger" causes the KLSE CI. In the third sub-sample period, the result displays that the KLSE CI "Granger" causes the KLSE CI Futures. As a conclusion, this study shows that the KLSE CI Futures leads the KLSE CI, especially during the crisis under flexible exchange regime, which implies that KLSE CI Futures has some predictive power for the KLSE CI. |
| first_indexed | 2025-11-15T10:10:11Z |
| format | Article |
| id | upm-46544 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T10:10:11Z |
| publishDate | 2015 |
| publisher | Serials Publications |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-465442018-02-26T07:17:02Z http://psasir.upm.edu.my/id/eprint/46544/ The dynamic relationships between cash and futures market: the Malaysian experience under a shift from flexible to fixed exchange regimes Wong, Mei Foong Goh, Han Hwa Thai, Siew Bee Ong, Tze San The purpose of this study is to examine the dynamic relationships between the Kuala Lumpur Stock Exchange Composite Index (KLSE CI) (currently known as FTSE Bursa Malaysia KLCI) and the Kuala Lumpur Stock Exchange Composite Index Futures (KLSE CI Futures), spot month futures contract under a shift from flexible to fixed exchange regimes. The VAR model of Johansen-Juselius multivariate cointegration test, multivariate Granger-Causality test are applied to capture the dynamic linkages between KLSE CI and KLSE CI Futures in the periods of pre- and during the Asian currency crisis under flexible exchange regime and after the crisis fixed exchange regime. The empirical results of this study display that the KLSE CI and KLSE CI Futures are cointegrated and there is long run causality between KLSE CI and KLSE CI Futures in the three sub-sample periods. In the short run, there are evidences of contemporaneous causality running between the variables. The result exhibits that only the KLSE CI does "Granger" causes the KLSE CI Futures in the first sub-sample period. In the second sub-sample period, the KLSE CI Futures "Granger" causes the KLSE CI. In the third sub-sample period, the result displays that the KLSE CI "Granger" causes the KLSE CI Futures. As a conclusion, this study shows that the KLSE CI Futures leads the KLSE CI, especially during the crisis under flexible exchange regime, which implies that KLSE CI Futures has some predictive power for the KLSE CI. Serials Publications 2015-01 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/46544/1/The%20dynamic%20relationships%20between%20cash%20and%20futures%20market%20the%20Malaysian%20experience%20under%20a%20shift%20from%20flexible%20to%20fixed%20exchange%20regimes.pdf Wong, Mei Foong and Goh, Han Hwa and Thai, Siew Bee and Ong, Tze San (2015) The dynamic relationships between cash and futures market: the Malaysian experience under a shift from flexible to fixed exchange regimes. International Journal of Applied Business and Economic Research, 13 (4). pp. 1495-1506. ISSN 0972-7302 http://www.serialspublications.com/journals/journal-detail.php?jid=30 |
| spellingShingle | Wong, Mei Foong Goh, Han Hwa Thai, Siew Bee Ong, Tze San The dynamic relationships between cash and futures market: the Malaysian experience under a shift from flexible to fixed exchange regimes |
| title | The dynamic relationships between cash and futures market: the Malaysian experience under a shift from flexible to fixed exchange regimes |
| title_full | The dynamic relationships between cash and futures market: the Malaysian experience under a shift from flexible to fixed exchange regimes |
| title_fullStr | The dynamic relationships between cash and futures market: the Malaysian experience under a shift from flexible to fixed exchange regimes |
| title_full_unstemmed | The dynamic relationships between cash and futures market: the Malaysian experience under a shift from flexible to fixed exchange regimes |
| title_short | The dynamic relationships between cash and futures market: the Malaysian experience under a shift from flexible to fixed exchange regimes |
| title_sort | dynamic relationships between cash and futures market: the malaysian experience under a shift from flexible to fixed exchange regimes |
| url | http://psasir.upm.edu.my/id/eprint/46544/ http://psasir.upm.edu.my/id/eprint/46544/ http://psasir.upm.edu.my/id/eprint/46544/1/The%20dynamic%20relationships%20between%20cash%20and%20futures%20market%20the%20Malaysian%20experience%20under%20a%20shift%20from%20flexible%20to%20fixed%20exchange%20regimes.pdf |