Does oil price matter for the Malaysian stock market?
Uncertainty in the crude oil price has motivated researchers to analyze the relationship between oil prices and economic activities. In recent years, the literature has changed focus of the relationship to asset prices such as stock and gold prices. This paper investigates the effect of oil prices o...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Kulliyyah of Economics and Management Sciences, International Islamic University
2019
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| Online Access: | http://psasir.upm.edu.my/id/eprint/79436/ http://psasir.upm.edu.my/id/eprint/79436/1/Does%20oil%20price%20matter%20for%20the%20Malaysian%20stock%20market.pdf |
| _version_ | 1848858678346645504 |
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| author | Bani, Yasmin Ramli, Siti Noraini |
| author_facet | Bani, Yasmin Ramli, Siti Noraini |
| author_sort | Bani, Yasmin |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | Uncertainty in the crude oil price has motivated researchers to analyze the relationship between oil prices and economic activities. In recent years, the literature has changed focus of the relationship to asset prices such as stock and gold prices. This paper investigates the effect of oil prices on Malaysian stock prices. We use monthly data for the period 2007-2016 and utilize the Auto Regressive Distributed Lag (ARDL) cointegration approach to estimate the short-run and long-run relationship between crude oil price and two different indices; namely FBMKLCI and FBMEMAS. We find that crude oil prices are cointegrated with both indices and the relationship is negative and significant in the long-run. This is consistent with theoretical expectations and existing empirical studies. |
| first_indexed | 2025-11-15T12:17:16Z |
| format | Article |
| id | upm-79436 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T12:17:16Z |
| publishDate | 2019 |
| publisher | Kulliyyah of Economics and Management Sciences, International Islamic University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-794362021-04-07T11:21:05Z http://psasir.upm.edu.my/id/eprint/79436/ Does oil price matter for the Malaysian stock market? Bani, Yasmin Ramli, Siti Noraini Uncertainty in the crude oil price has motivated researchers to analyze the relationship between oil prices and economic activities. In recent years, the literature has changed focus of the relationship to asset prices such as stock and gold prices. This paper investigates the effect of oil prices on Malaysian stock prices. We use monthly data for the period 2007-2016 and utilize the Auto Regressive Distributed Lag (ARDL) cointegration approach to estimate the short-run and long-run relationship between crude oil price and two different indices; namely FBMKLCI and FBMEMAS. We find that crude oil prices are cointegrated with both indices and the relationship is negative and significant in the long-run. This is consistent with theoretical expectations and existing empirical studies. Kulliyyah of Economics and Management Sciences, International Islamic University 2019 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/79436/1/Does%20oil%20price%20matter%20for%20the%20Malaysian%20stock%20market.pdf Bani, Yasmin and Ramli, Siti Noraini (2019) Does oil price matter for the Malaysian stock market? International Journal of Economics, Management and Accounting, 27 (2). pp. 315-329. ISSN 2462-1420 https://journals.iium.edu.my/enmjournal/index.php/enmj/article/view/685 |
| spellingShingle | Bani, Yasmin Ramli, Siti Noraini Does oil price matter for the Malaysian stock market? |
| title | Does oil price matter for the Malaysian stock market? |
| title_full | Does oil price matter for the Malaysian stock market? |
| title_fullStr | Does oil price matter for the Malaysian stock market? |
| title_full_unstemmed | Does oil price matter for the Malaysian stock market? |
| title_short | Does oil price matter for the Malaysian stock market? |
| title_sort | does oil price matter for the malaysian stock market? |
| url | http://psasir.upm.edu.my/id/eprint/79436/ http://psasir.upm.edu.my/id/eprint/79436/ http://psasir.upm.edu.my/id/eprint/79436/1/Does%20oil%20price%20matter%20for%20the%20Malaysian%20stock%20market.pdf |