The money market sensitivity on the stock market / Wan Mansor Wan Mahmood and Zetty Zahureen Mohd Yusoff

Wan Mahmood, Wan Mansor and Mohd Yusoff, Zetty Zahureen (2006) The money market sensitivity on the stock market / Wan Mansor Wan Mahmood and Zetty Zahureen Mohd Yusoff. Social and Management Research Journal (SMRJ), 3 (2). pp. 85-95. ISSN 1675-7017

Abstract

This paper employs the cointegration tests and error correction model to investigate the impact ofeasing money market on stock returns in Malaysia following the Asian financial crisis during 1997 to 2000. The monthly data on
Kuala Lumpur Interbank Offer Rates (KLIBOR), the monthly closing of Kuala Lumpur Composite Index (KLCI) andthe sector indexes - construction, consumer product, finance, industrial product, plantation, properties, mining, andtrading andservices, from January I, 1997 to December 31,2000 are used. The results suggest that there is long-term relationship between KLlBOR andsub sample 2,
KLlBOR and constructions, KLlBOR and properties, and KLlBOR and mining.

Metadata

Item Type: Article
Creators:
Creators
Email / ID Num.
Wan Mahmood, Wan Mansor
dwanmans@tganu.uitm.edu.my
Mohd Yusoff, Zetty Zahureen
UNSPECIFIED
Subjects: H Social Sciences > HG Finance > Money
H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities > Malaysia
Divisions:
Journal or Publication Title: Social and Management Research Journal (SMRJ)
UiTM Journal Collections: UiTM Journal > Social and Management Research Journal (SMRJ)
ISSN: 1675-7017
Volume: 3
Number: 2
Page Range: pp. 85-95
Keywords: Cointegration test, error correction model, inflation rates, equity prices.
Date: 2006
URI: https://ir.uitm.edu.my/id/eprint/13013
Edit Item
Edit Item

Download

[thumbnail of AJ_WAN MANSOR WAN MAHMOOD SMRJ 06 1.pdf] Text
AJ_WAN MANSOR WAN MAHMOOD SMRJ 06 1.pdf

Download (760kB)

ID Number

13013

Indexing

|

Statistic

Statistic details