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Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market

The study investigates causality between palm oil price, exchange rate and the Kuala Lumpur Composite Index (KLCI) based on the theory of wavelets on the basis of monthly data from the period January 1990 - December 2012. This methodology enables us to identify that the causality between these econo...

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Main Authors: Saiti, Buerhan, Ali, Azlan, Abdullah, Naziruddin, Sajilan, Sulaiman
Format: Article
Language:English
Published: Eurasian Publications 2014
Subjects:
HB221 Price
Online Access:http://irep.iium.edu.my/44502/4/EJEF-2.pdf
http://irep.iium.edu.my/44502/
http://eurasianpublications.com/
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spelling my.iium.irep.445022015-09-01T03:02:12Z http://irep.iium.edu.my/44502/ Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market Saiti, Buerhan Ali, Azlan Abdullah, Naziruddin Sajilan, Sulaiman HB221 Price The study investigates causality between palm oil price, exchange rate and the Kuala Lumpur Composite Index (KLCI) based on the theory of wavelets on the basis of monthly data from the period January 1990 - December 2012. This methodology enables us to identify that the causality between these economic variables at different time intervals. This wavelet decomposition also provides additional evidence to the “reverse causality” theory. We found that the wavelet cross-correlations between stock price and exchange rate skewed to the right at all levels with negative significant correlations which implies that the exchange rate leads the stock price. In the case of stock and commodity prices, there is no significant wavelet-cross- correlation at first four levels. However, the wavelet cross-correlations skewed to the left at level 5 which implies that the stock price leads commodity price in the long-run. Finally, there is no significant wavelet cross-correlations at all levels as long as we concern between commodity price and exchange rate. It implies that there is no lead-lag relationship between commodity price and exchange rate. Eurasian Publications 2014 Article REM application/pdf en http://irep.iium.edu.my/44502/4/EJEF-2.pdf Saiti, Buerhan and Ali, Azlan and Abdullah, Naziruddin and Sajilan, Sulaiman (2014) Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market. Eurasian Journal of Economics and Finance, 2 (1). pp. 13-27. ISSN 2148-0192 http://eurasianpublications.com/
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic HB221 Price
spellingShingle HB221 Price
Saiti, Buerhan
Ali, Azlan
Abdullah, Naziruddin
Sajilan, Sulaiman
Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market
description The study investigates causality between palm oil price, exchange rate and the Kuala Lumpur Composite Index (KLCI) based on the theory of wavelets on the basis of monthly data from the period January 1990 - December 2012. This methodology enables us to identify that the causality between these economic variables at different time intervals. This wavelet decomposition also provides additional evidence to the “reverse causality” theory. We found that the wavelet cross-correlations between stock price and exchange rate skewed to the right at all levels with negative significant correlations which implies that the exchange rate leads the stock price. In the case of stock and commodity prices, there is no significant wavelet-cross- correlation at first four levels. However, the wavelet cross-correlations skewed to the left at level 5 which implies that the stock price leads commodity price in the long-run. Finally, there is no significant wavelet cross-correlations at all levels as long as we concern between commodity price and exchange rate. It implies that there is no lead-lag relationship between commodity price and exchange rate.
format Article
author Saiti, Buerhan
Ali, Azlan
Abdullah, Naziruddin
Sajilan, Sulaiman
author_facet Saiti, Buerhan
Ali, Azlan
Abdullah, Naziruddin
Sajilan, Sulaiman
author_sort Saiti, Buerhan
title Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market
title_short Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market
title_full Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market
title_fullStr Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market
title_full_unstemmed Palm oil price, exchange rate, and stock market: a wavelet analysis on the Malaysian market
title_sort palm oil price, exchange rate, and stock market: a wavelet analysis on the malaysian market
publisher Eurasian Publications
publishDate 2014
url http://irep.iium.edu.my/44502/4/EJEF-2.pdf
http://irep.iium.edu.my/44502/
http://eurasianpublications.com/
_version_ 1643612587521212416
score 13.211869

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