The effect of oil price fluctuations on the Malaysian and Indonesian stock markets
This study is pursued with the objective of examining the effect of changes in crude oil price on the share prices of public listed companies on Bursa Malaysia and the Jakarta Stock Exchange as proxied by the Kuala Lumpur Composite Index (KLCI) and Jakarta Composite Index (JCI), respectively. The st...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Faculty of Business and Accountancy, University of Malaya
2009
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| Online Access: | http://psasir.upm.edu.my/id/eprint/49442/ http://psasir.upm.edu.my/id/eprint/49442/1/The%20effect%20of%20oil%20price%20fluctuations%20on%20the%20Malaysian%20and%20Indonesian%20stock%20markets.pdf |
| _version_ | 1848851269010063360 |
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| author | Abdul Hadi, Abdul Razak Yahya, Mohamed Hisham Shaari, Abu Hassan |
| author_facet | Abdul Hadi, Abdul Razak Yahya, Mohamed Hisham Shaari, Abu Hassan |
| author_sort | Abdul Hadi, Abdul Razak |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This study is pursued with the objective of examining the effect of changes in crude oil price on the share prices of public listed companies on Bursa Malaysia and the Jakarta Stock Exchange as proxied by the Kuala Lumpur Composite Index (KLCI) and Jakarta Composite Index (JCI), respectively. The study employs the Engle-Granger Cointegration test and Error Correction Modelling (ECM). Using time series data from January 1986 through December 2006, this study finds a significant long-term relationship between the movement of crude oil price and the performance of the two stock markets. The two observed variables in both stock markets are also found to be positively correlated. The test results from Impulse Response Function and Variance Decomposition show the presence of a dynamic interaction between the movement in crude oil prices and the two stock market indices. |
| first_indexed | 2025-11-15T10:19:30Z |
| format | Article |
| id | upm-49442 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T10:19:30Z |
| publishDate | 2009 |
| publisher | Faculty of Business and Accountancy, University of Malaya |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-494422016-12-30T02:49:40Z http://psasir.upm.edu.my/id/eprint/49442/ The effect of oil price fluctuations on the Malaysian and Indonesian stock markets Abdul Hadi, Abdul Razak Yahya, Mohamed Hisham Shaari, Abu Hassan This study is pursued with the objective of examining the effect of changes in crude oil price on the share prices of public listed companies on Bursa Malaysia and the Jakarta Stock Exchange as proxied by the Kuala Lumpur Composite Index (KLCI) and Jakarta Composite Index (JCI), respectively. The study employs the Engle-Granger Cointegration test and Error Correction Modelling (ECM). Using time series data from January 1986 through December 2006, this study finds a significant long-term relationship between the movement of crude oil price and the performance of the two stock markets. The two observed variables in both stock markets are also found to be positively correlated. The test results from Impulse Response Function and Variance Decomposition show the presence of a dynamic interaction between the movement in crude oil prices and the two stock market indices. Faculty of Business and Accountancy, University of Malaya 2009 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/49442/1/The%20effect%20of%20oil%20price%20fluctuations%20on%20the%20Malaysian%20and%20Indonesian%20stock%20markets.pdf Abdul Hadi, Abdul Razak and Yahya, Mohamed Hisham and Shaari, Abu Hassan (2009) The effect of oil price fluctuations on the Malaysian and Indonesian stock markets. Asian Journal of Business and Accounting, 2 (1&2). pp. 69-91. ISSN 1985-4064; ESSN: 2180-3137 http://ajba.um.edu.my/63-73 |
| spellingShingle | Abdul Hadi, Abdul Razak Yahya, Mohamed Hisham Shaari, Abu Hassan The effect of oil price fluctuations on the Malaysian and Indonesian stock markets |
| title | The effect of oil price fluctuations on the Malaysian and Indonesian stock markets |
| title_full | The effect of oil price fluctuations on the Malaysian and Indonesian stock markets |
| title_fullStr | The effect of oil price fluctuations on the Malaysian and Indonesian stock markets |
| title_full_unstemmed | The effect of oil price fluctuations on the Malaysian and Indonesian stock markets |
| title_short | The effect of oil price fluctuations on the Malaysian and Indonesian stock markets |
| title_sort | effect of oil price fluctuations on the malaysian and indonesian stock markets |
| url | http://psasir.upm.edu.my/id/eprint/49442/ http://psasir.upm.edu.my/id/eprint/49442/ http://psasir.upm.edu.my/id/eprint/49442/1/The%20effect%20of%20oil%20price%20fluctuations%20on%20the%20Malaysian%20and%20Indonesian%20stock%20markets.pdf |