CORRELATION BETWEEN STOCK MARKET PERFORMANCE OF MALAYSIA AND ITS MAJOR TRADING PARTNER: EVIDENCE FROM COVID-19 PANDEMIC
This study examines Malaysia's stock market performance in relation to its major trading partners, including Singapore, China, Hong Kong, the United States, and Japan. The selected stock indices include Kuala Lumpur Composite Index (Malaysia), FTSE Straits Times Index (Singapore), Shang Hai Sto...
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| Format: | Final Year Project Report |
| Language: | English |
| Published: |
Universiti Malaysia Sarawak, (UNIMAS)
2023
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| Online Access: | http://ir.unimas.my/id/eprint/43769/5/Liew%20Siew%20Fung%20ft.pdf http://ir.unimas.my/id/eprint/43769/ |
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| Summary: | This study examines Malaysia's stock market performance in relation to its major trading partners, including Singapore, China, Hong Kong, the United States, and Japan. The selected stock indices include Kuala Lumpur Composite Index (Malaysia), FTSE Straits Times Index (Singapore), Shang Hai Stock Exchange Composite Index (China), Hang Seng Index (Hong Kong), Standard and Poor's 500 Index (The United States) and Nikkei 225 Index (Japan). The study period covered 15 years of data that separated into the period before the crisis (March 2007 to February 2020) and the period during the crisis (March 2020 to February 2022). There are a total of 180 observations available for each index. During the overall study period, the Ordinary Least Square test revealed that China, Singapore, and the United States are positively related to Malaysia. During the pre-crisis period, only Hong Kong and Singapore were found to have significant positive relations with Malaysia, but they disappeared during the crisis. In contrast, China and the United States had a positive impact during the crisis. During the total study period and pre-crisis period, the selected stock markets show long-run cointegration between each other according to the Johansen Cointegration test. Across the entire study period, there is a significant unidirectional causal relationship flow from China to Japan. The cointegration between China and Hong Kong, China and Japan, China and Singapore, and Malaysia and the United States before the crisis can be seen. After Covid-19 arose, all these short-run cointegrations disappeared. |
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