The response of sectoral returns to macroeconomic shocks in the Malaysian stock market
This paper examines the responses of sectoral returns to shocks in five macroeconomic indicators using the vector autoregressive (VAR) model and generalised impulse response functions for an emerging stock market, Malaysia. The empirical results suggest that, while the temporal responses of sectoral...
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Main Authors: | Law, Siong Hook, Ibrahim, Mansor |
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Format: | Article |
Language: | English |
Published: |
Faculty of Economics & Administration, University of Malaya and Malaysian Economic Association
2014
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Online Access: | http://psasir.upm.edu.my/id/eprint/35803/1/The%20response%20of%20sectoral%20returns%20to%20macroeconomic%20shocks%20in%20the%20Malaysian%20stock%20market.pdf http://psasir.upm.edu.my/id/eprint/35803/ http://mjes.um.edu.my/811-990 |
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