Linear Vector Error Correction Model Versus Markov Switching Vector Error Correction Model To Investigate Stock Market Behaviour
The stock market can reflect the economy of a country. The movement of the stock market index may imply the economic condition in general. The 1997 Asian Financial Crisis and the 2008 Global Economic Crisis are examples of share depressions that impacted countries’ inflation, unemployment rates a...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM)
2014
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| Subjects: | |
| Online Access: | http://eprints.usm.my/40019/ http://eprints.usm.my/40019/1/AAMJAF_10-1-6-G1_%28133-149%29.pdf |
| _version_ | 1848878906131611648 |
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| author | Seuk , Wai Phoong Ismail, Mohd Tahir Siok , Kun Sek |
| author_facet | Seuk , Wai Phoong Ismail, Mohd Tahir Siok , Kun Sek |
| author_sort | Seuk , Wai Phoong |
| building | USM Institutional Repository |
| collection | Online Access |
| description | The stock market can reflect the economy of a country. The movement of the stock market
index may imply the economic condition in general. The 1997 Asian Financial Crisis and
the 2008 Global Economic Crisis are examples of share depressions that impacted
countries’ inflation, unemployment rates and gross national product (GNP). This study
investigates how oil and gold prices impact the stock exchange using a linear vector
error correction model (VECM) and a Markov switching vector error correction model
(MS-VECM). The results show that oil and gold prices affect the stock market returns for
the four selected countries, namely Malaysia, Singapore, Thailand and Indonesia. The
MS-VECM is able to capture every change in the transition probabilities of the financial
time series data and is more reliable than the linear VECM for examining the effect of oil
and gold prices on the stock market. |
| first_indexed | 2025-11-15T17:38:46Z |
| format | Article |
| id | usm-40019 |
| institution | Universiti Sains Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T17:38:46Z |
| publishDate | 2014 |
| publisher | Asian Academy of Management (AAM) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | usm-400192018-04-11T03:43:55Z http://eprints.usm.my/40019/ Linear Vector Error Correction Model Versus Markov Switching Vector Error Correction Model To Investigate Stock Market Behaviour Seuk , Wai Phoong Ismail, Mohd Tahir Siok , Kun Sek HD28-70 Management. Industrial Management The stock market can reflect the economy of a country. The movement of the stock market index may imply the economic condition in general. The 1997 Asian Financial Crisis and the 2008 Global Economic Crisis are examples of share depressions that impacted countries’ inflation, unemployment rates and gross national product (GNP). This study investigates how oil and gold prices impact the stock exchange using a linear vector error correction model (VECM) and a Markov switching vector error correction model (MS-VECM). The results show that oil and gold prices affect the stock market returns for the four selected countries, namely Malaysia, Singapore, Thailand and Indonesia. The MS-VECM is able to capture every change in the transition probabilities of the financial time series data and is more reliable than the linear VECM for examining the effect of oil and gold prices on the stock market. Asian Academy of Management (AAM) 2014 Article PeerReviewed application/pdf en http://eprints.usm.my/40019/1/AAMJAF_10-1-6-G1_%28133-149%29.pdf Seuk , Wai Phoong and Ismail, Mohd Tahir and Siok , Kun Sek (2014) Linear Vector Error Correction Model Versus Markov Switching Vector Error Correction Model To Investigate Stock Market Behaviour. Asian Academy of Management Journal of Accounting and Finance, 10 (1). pp. 1-17. ISSN 1823-4992 http://web.usm.my/journal/aamjaf/10-1-6-2014.html |
| spellingShingle | HD28-70 Management. Industrial Management Seuk , Wai Phoong Ismail, Mohd Tahir Siok , Kun Sek Linear Vector Error Correction Model Versus Markov Switching Vector Error Correction Model To Investigate Stock Market Behaviour |
| title | Linear Vector Error Correction Model Versus
Markov Switching Vector Error Correction
Model To Investigate Stock Market Behaviour |
| title_full | Linear Vector Error Correction Model Versus
Markov Switching Vector Error Correction
Model To Investigate Stock Market Behaviour |
| title_fullStr | Linear Vector Error Correction Model Versus
Markov Switching Vector Error Correction
Model To Investigate Stock Market Behaviour |
| title_full_unstemmed | Linear Vector Error Correction Model Versus
Markov Switching Vector Error Correction
Model To Investigate Stock Market Behaviour |
| title_short | Linear Vector Error Correction Model Versus
Markov Switching Vector Error Correction
Model To Investigate Stock Market Behaviour |
| title_sort | linear vector error correction model versus
markov switching vector error correction
model to investigate stock market behaviour |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/40019/ http://eprints.usm.my/40019/ http://eprints.usm.my/40019/1/AAMJAF_10-1-6-G1_%28133-149%29.pdf |