出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This study examines the stock market as a predictor of the economic activity in Malaysia and its sensitivity to different stock market conditions.In doing so,we employ the Johansen cointegration,variance decomposition and the Autoregressive Distributed Lags bound test.For the whole period under study,the Johansen cointegration and the VDC show that the Malaysian stock market lead changes in economic activity.However,the results from the ARDL show no relation between the two variables.Different findings are found for different sub-periods.All the three tests suggest that the stock market lead changes in economic activity only during sub-period of 1986m5-1998m7.This implies that the stock market as predictor to economic activity is sensitive to different stock market conditions.This study also highlights the usefulness of ARDL method especially when stationarity becomes an issue.
