Exploring the nexus between oil price shocks and sectoral stock returns: a new evidence from stock exchange in Malaysia

Citation

Al-hajj, Ekhlas and Al-Mulali, Usama and Solarin, Sakiru Adebola (2020) Exploring the nexus between oil price shocks and sectoral stock returns: a new evidence from stock exchange in Malaysia. Economic Change and Restructuring. pp. 1-19. ISSN 1573-9414

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Abstract

This paper uses monthly data from 2000:05 to 2016:11 to investigate the relationship between oil price shocks and stock market returns of the nine economic sectors listed on Bursa Malaysia while incorporating oil price, interest rate, exchange rate, industrial production, and inflation into the regression. In order to avoid issue arising from the presence of the structural breaks, Narayan and Popp (J Appl Stat 37(9):1425–1438, 2010) unit root and autoregressive distributed lag (ARDL) with structural breaks were utilized. The ARDL bounds test results illustrate that all the sectors are cointegrated except trading/services and plantation sectors. The results further show that oil price has a significant negative impact on the property, mining, and technology sectors stock market returns.

Item Type: Article
Uncontrolled Keywords: Stock exchanges, Oil price shocks, Stock market returns, Malaysian sectors, Narayan and Popp (2010), ARDL model
Subjects: H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions: Faculty of Business (FOB)
Depositing User: Ms Rosnani Abd Wahab
Date Deposited: 18 Oct 2020 15:54
Last Modified: 14 Dec 2020 16:51
URII: http://shdl.mmu.edu.my/id/eprint/7777

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