Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration
This article re-examines the relationship of several macroeconomics variables with Malaysia Stock Market Index, KLCI. The paper applies Johansen (1988) procedure and vector error correction model (VECM) for symmetric cointegration, while threshold cointegration test proposed by Enders and Siklos (...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2018
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| Online Access: | http://journalarticle.ukm.my/19644/1/jeko_521-25.pdf http://journalarticle.ukm.my/19644/ https://www.ukm.my/jem/issue/v52i1/ |
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