International linkages among stock markets of Malaysia and its major trading partners

Karim, Bakri Abdul and Majid, M. Shabri ABD. (2009) International linkages among stock markets of Malaysia and its major trading partners. Journal of Asia-Pacific Business, 10 (4). pp. 326-351. ISSN 1059-9231

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Abstract

This study empirically examines the short- and long-run dynamic causal linkages between Malaysia and its major trading partners (the United States, Japan, Singapore, China, and Thailand) based on a two-step estimation, Autoregressive distributed lag (ARDL) and Generalized Method of Moments (GMM) during the period 1992–2008. The study documents that the stronger the trade ties among the countries, the higher the degree of comovements among their stock markets. The Japanese stock market, to some extent, is found to be more important than the United States over these markets. In designing stock market policies, each country should take into consideration of any shocks in its major trading partners.

Item Type:	Article (Journal)
Additional Information:	5058/8051
Uncontrolled Keywords:	stock market integration, ARDL, GMM, Malaysia, trading partners, portfolio diversification
Subjects:	H Social Sciences > HF Commerce > HF5001 Business. Business Administration H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User:	Nur' Aini Abu Bakar
Date Deposited:	25 Nov 2011 04:49
Last Modified:	25 Nov 2011 04:50
URI:	http://irep.iium.edu.my/id/eprint/8051

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