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Dynamics impact of oil shocks towards Malaysian equity markets / Mohd Ashmeer Abu

This paper examines the oil shocks dynamic impacts to different industry stock returns of Bursa Malaysia, namely; Consumer product, Finance, Industrial product, Plantation, Properties, Tin and Mining, and Trade and Services. The time frame for the analysis is from year 1997 to 2015 with weekly data...

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Main Author: Abu, Mohd Ashmeer
Format: Student Project
Language:English
Published: 2016
Subjects:
Stock exchanges. Insider trading in securities
Online Access:https://ir.uitm.edu.my/id/eprint/108449/1/108449.pdf
https://ir.uitm.edu.my/id/eprint/108449/
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spelling my.uitm.ir.1084492025-02-21T23:58:29Z https://ir.uitm.edu.my/id/eprint/108449/ Dynamics impact of oil shocks towards Malaysian equity markets / Mohd Ashmeer Abu Abu, Mohd Ashmeer Stock exchanges. Insider trading in securities This paper examines the oil shocks dynamic impacts to different industry stock returns of Bursa Malaysia, namely; Consumer product, Finance, Industrial product, Plantation, Properties, Tin and Mining, and Trade and Services. The time frame for the analysis is from year 1997 to 2015 with weekly data observations. A multifactor market model motivated from CAPM and APT theory is employed to model the multifactor determinants of industry level stock returns in Malaysia. The model is tested using time-series and panel regression methods on different industry characteristics of the sample, namely; individual industry, overall industry, oil-dependent industry, non-oil dependent industry, big market size and small market size. The result indicates that oil shocks do influence the stock returns in Malaysia but the impacts is dynamic given different characteristic of the industry. In line with the theoretical expectations, oil dependent industries are more vulnerable to oil price shocks. This research not only highlights new emerging insights on stock pricing dynamics in Malaysia but also practical implications to investors, fund managers, and regulators on how to manage oil price shocks in Malaysian equity markets. 2016 Student Project NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/108449/1/108449.pdf Dynamics impact of oil shocks towards Malaysian equity markets / Mohd Ashmeer Abu. (2016) [Student Project] (Submitted)
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Stock exchanges. Insider trading in securities
spellingShingle Stock exchanges. Insider trading in securities
Abu, Mohd Ashmeer
Dynamics impact of oil shocks towards Malaysian equity markets / Mohd Ashmeer Abu
description This paper examines the oil shocks dynamic impacts to different industry stock returns of Bursa Malaysia, namely; Consumer product, Finance, Industrial product, Plantation, Properties, Tin and Mining, and Trade and Services. The time frame for the analysis is from year 1997 to 2015 with weekly data observations. A multifactor market model motivated from CAPM and APT theory is employed to model the multifactor determinants of industry level stock returns in Malaysia. The model is tested using time-series and panel regression methods on different industry characteristics of the sample, namely; individual industry, overall industry, oil-dependent industry, non-oil dependent industry, big market size and small market size. The result indicates that oil shocks do influence the stock returns in Malaysia but the impacts is dynamic given different characteristic of the industry. In line with the theoretical expectations, oil dependent industries are more vulnerable to oil price shocks. This research not only highlights new emerging insights on stock pricing dynamics in Malaysia but also practical implications to investors, fund managers, and regulators on how to manage oil price shocks in Malaysian equity markets.
format Student Project
author Abu, Mohd Ashmeer
author_facet Abu, Mohd Ashmeer
author_sort Abu, Mohd Ashmeer
title Dynamics impact of oil shocks towards Malaysian equity markets / Mohd Ashmeer Abu
title_short Dynamics impact of oil shocks towards Malaysian equity markets / Mohd Ashmeer Abu
title_full Dynamics impact of oil shocks towards Malaysian equity markets / Mohd Ashmeer Abu
title_fullStr Dynamics impact of oil shocks towards Malaysian equity markets / Mohd Ashmeer Abu
title_full_unstemmed Dynamics impact of oil shocks towards Malaysian equity markets / Mohd Ashmeer Abu
title_sort dynamics impact of oil shocks towards malaysian equity markets / mohd ashmeer abu
publishDate 2016
url https://ir.uitm.edu.my/id/eprint/108449/1/108449.pdf
https://ir.uitm.edu.my/id/eprint/108449/
_version_ 1825165097851420672
score 13.239859

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