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Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia

Farmer hypothesised that there is a linear long-run relationship between the movement of the stock market and movement in the unemployment rate, and there is a unidirectional causality running from stock market to unemployment rate. In this study we test the Farmer hypothesis by using Malaysia’s dai...

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Main Authors: Muzafar Shah, Habibullah, Mohd Yusof, Saari, Evan, Lau, Badariah, Haji Din, Anuar Shah, Bali Mahomed
Format: Article
Language:English
Published: Inderscience Enterprises Ltd. 2023
Subjects:
HB Economic Theory
HJ Public Finance
Online Access:http://ir.unimas.my/id/eprint/44371/3/Testing%20for.pdf
http://ir.unimas.my/id/eprint/44371/
https://www.inderscienceonline.com/doi/abs/10.1504/IJEPEE.2023.129787
https://doi.org/10.1504/IJEPEE.2023.129787 PDF
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spelling my.unimas.ir.443712024-02-19T00:04:38Z http://ir.unimas.my/id/eprint/44371/ Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia Muzafar Shah, Habibullah Mohd Yusof, Saari Evan, Lau Badariah, Haji Din Anuar Shah, Bali Mahomed HB Economic Theory HJ Public Finance Farmer hypothesised that there is a linear long-run relationship between the movement of the stock market and movement in the unemployment rate, and there is a unidirectional causality running from stock market to unemployment rate. In this study we test the Farmer hypothesis by using Malaysia’s daily data on stock price and unemployment rate during the COVID-19 pandemic. We performed unit root, cointegration and short-run as well long-run non-causality tests between the stock market and unemployment rate using high frequency data for the period January to October 2020. Our results suggest that both stock market and unemployment rate are non-stationary and cointegrated. The causality test results suggest that using shorter lag, Farmer hypothesis is rejected while at longer lags, Farmer hypothesis cannot be rejected. Inderscience Enterprises Ltd. 2023-08 Article PeerReviewed text en http://ir.unimas.my/id/eprint/44371/3/Testing%20for.pdf Muzafar Shah, Habibullah and Mohd Yusof, Saari and Evan, Lau and Badariah, Haji Din and Anuar Shah, Bali Mahomed (2023) Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia. International Journal of Economic Policy in Emerging Economies, 17 (2). pp. 239-255. ISSN 1752-0460 https://www.inderscienceonline.com/doi/abs/10.1504/IJEPEE.2023.129787 https://doi.org/10.1504/IJEPEE.2023.129787 PDF
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic HB Economic Theory
HJ Public Finance
spellingShingle HB Economic Theory
HJ Public Finance
Muzafar Shah, Habibullah
Mohd Yusof, Saari
Evan, Lau
Badariah, Haji Din
Anuar Shah, Bali Mahomed
Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia
description Farmer hypothesised that there is a linear long-run relationship between the movement of the stock market and movement in the unemployment rate, and there is a unidirectional causality running from stock market to unemployment rate. In this study we test the Farmer hypothesis by using Malaysia’s daily data on stock price and unemployment rate during the COVID-19 pandemic. We performed unit root, cointegration and short-run as well long-run non-causality tests between the stock market and unemployment rate using high frequency data for the period January to October 2020. Our results suggest that both stock market and unemployment rate are non-stationary and cointegrated. The causality test results suggest that using shorter lag, Farmer hypothesis is rejected while at longer lags, Farmer hypothesis cannot be rejected.
format Article
author Muzafar Shah, Habibullah
Mohd Yusof, Saari
Evan, Lau
Badariah, Haji Din
Anuar Shah, Bali Mahomed
author_facet Muzafar Shah, Habibullah
Mohd Yusof, Saari
Evan, Lau
Badariah, Haji Din
Anuar Shah, Bali Mahomed
author_sort Muzafar Shah, Habibullah
title Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia
title_short Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia
title_full Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia
title_fullStr Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia
title_full_unstemmed Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia
title_sort testing for farmer stock market-unemployment hypothesis during the covid-19 pandemic in malaysia
publisher Inderscience Enterprises Ltd.
publishDate 2023
url http://ir.unimas.my/id/eprint/44371/3/Testing%20for.pdf
http://ir.unimas.my/id/eprint/44371/
https://www.inderscienceonline.com/doi/abs/10.1504/IJEPEE.2023.129787
https://doi.org/10.1504/IJEPEE.2023.129787 PDF
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score 13.211869

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