Relationship between domestic stock market indices towards global stock market indices: evidence from pre and post pandemic COVID 19 / Lukman Omar

The problem that being highlighted in this study were about the movement of several countries indices that will give an impact to Malaysian index. The objective in this study is to investigate several countries indices that affect the Malaysian index. The data from the sample of 5 countries indices are collected for 2 years (2019-2021) on daily basis. This study used quantitative secondary data which is time series and multiple regression models represented by the ordinary least squares (OLS) as the technique to look factor that affect the Malaysian index. It involves Nasdaq 100, Dow Jones Industrial Average (DJIA), Nikkei 225, and Hang Seng index. This research employs Event Study Method. The result indicated in covariance analysis are, all independent variable has significant relationship with dependent variable. Regression theoretical model was developed and regression analysis need to be performed. The result indicates that there is significant relationship between Malaysia index and all the independent variable where it can be retained in the regression model for the final theoretical model. Several tests on assumption were failed to reject the null hypothesis, while the null hypothesis for test on variance of error term can be rejected by using heteroskedasticity-consistent standard errors & covariance.