Inter-counter linkage in Kuala Lumpur Stock Exchange returns

Faoziah Idris, and Tang, Tuck Cheong (2004) Inter-counter linkage in Kuala Lumpur Stock Exchange returns. Sunway Academic Journal, 1. pp. 21-27.

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This paper investigates the linkages among daily returns of the Kuala Lumpur Stock Exchange (KLSE) counters over the period 7 July 1995 to10 August 1999. It examines the dynamic causal linkages among nine counters and then quantifies the extent of their dynamic interdependencies through the application of time series econometric technique of Granger causality tests. The counters selected are mining, consumer product, finance, industrials, industrial product, properties, construction, plantations, and trading?services. The findings successfully establish the existence of inter-linkages among the nine selected counters.

Item Type: Article
Additional Information: First author is affiliated with Universiti Utara Malaysia; second author is affiliated with Monash University Malaysia.
Uncontrolled Keywords: Granger causality; KLSE; unit root
Subjects: H Social Sciences > HG Finance
Divisions: Others > Non Sunway Academics
Depositing User: Administrator Admin
Date Deposited: 15 Oct 2012 01:20
Last Modified: 30 Jan 2018 02:45

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