The Effects of Relative Strength of USD and Overnight Policy Rate on Performance of Malaysian Stock Market – Evidence from 1980 through 2015
作者: Abdul Razak Abdul Hadi Eddy Tat Hiung Yap Zalina Zainudin
刊名: The Contemporary Economics, 2019, Vol.13 (2), pp.175-186
来源数据库: University of Finance and Management
原始语种摘要: Abstract(#br)The study is carried out with the objective of testing the efficient market hypothesis (EMH) at the semistrong form level. As such, the study employs two publicly available data variables – the exchange rate (RM/USD) and short-term interest rate as proxied by the overnight policy rate (OPR). The extent to which these variables influenced the performance of Bursa Malaysia (KLCI) over the past 35 years, from January 1980 to June 2015, is examined. Using monthly data, the entire study period is divided into three subperiods – the full sample period, the sample period that excludes the duration of capital control and the sample period of FBMKLCI (from July 2009 to June 2015). Deploying the Johansen-Juselius cointegration test, the study shows the presence of a long-run...
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  • Malaysia 马来西亚
  • equilibrium 平衡
  • variables 变量
  • capital 首都
  • Bursa 布尔萨
  • through 经过
  • explanatory 说明
  • control 控制
  • over 在上方
  • interest 兴趣