@article{MAKHILLJEAS201712914438,
    title = {Modeling the Relationship Between Malaysia Exchange
Rate and Sectoral Stock Market Indices},
    journal = {Journal of Engineering and Applied Sciences},
    volume = {12},
    number = {9},
    pages = {2525-2531},
    year = {2017},
    issn = {1816-949x},
    doi = {jeasci.2017.2525.2531},
    url = {https://makhillpublications.co/view-article.php?issn=1816-949x&doi=jeasci.2017.2525.2531},
    author = {Mohd,Lee and},
    keywords = {Exchange rates,VEC model,granger causality,variance decomposition,causality},
    abstract = {This study investigates the relationship between MYR/USD exchange rate and 10 sectoral stock
markets indices after the pegging period which is starting from August 2005 to -December 2015. The Vector
Auto Regressive or Vector Error Correction Model (VAR/VECM) framework is used in this study, nonetheless
unit root tests (ADF and KPSS) as well as cointegration test will be implemented before using VAR/VECM
framework. Since, there are long-run relationship between the significant sectoral markets which have been
chosen from regression analysis, VECM is employed. Meanwhile, the results from Granger causality test
indicates that there exists positive unidirectional from exchange rate to consumer product, finance and industrial
product respectively. In short, high exchange rate has affected these three sectoral stock markets over the
period under study. However, in long-term forecast, the variance decomposition results have shown that the
impact of exchange rate on each sectoral stock price is ranging from 1.87-15.74%.}
    }