文章基本信息

标题：Cointegration Between Macroeconomic Variables and Sectoral Indices Movement in Bursa Malaysia
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作者：Jaafar Pyeman ; Ismail Ahmad
期刊名称：Global Journal Al-Thaqafah
印刷版ISSN：2232-0474
电子版ISSN：2232-0482
出版年度：2017
卷号：7
期号：1
页码：19
出版社：Kolej Universiti Islam Sultan Azlan Shah
摘要：This paper examines the cointegrationbetween sectoral indices in Bursa Malaysiaand the selected macroeconomic variables,namely, oil price (OP), gold price (GP), andexchange rate (ER), during the period 1995-2014. The underlying series are tested byusing Unit Root Test, Johansen Cointegration,Vector Error Correction Model (VECM) andVector Autoregression (VAR). The resultsindicate that sectoral indices, specifically intechnology sector, have long run cointegrationwith macroeconomic variable as resulted fromthe analysis of Johansen-Juselius (1990),Multivariate Cointegration and Vector ErrorCorrection Model. Meanwhile, the short runcointegration between macroeconomic variableand several sectoral indices have also beenobserved in Bursa Malaysia.
关键词：Vector Error Correction;Model;Vector Autoregression Model;Macroeconomic Variable; Sectoral Indices