TY  - JOUR
T1  - Modeling the Relationship Between Malaysia Exchange
Rate and Sectoral Stock Market Indices
AU - Tahir Ismail, Mohd AU - Siew Yong, Lee AU - Ying Ming, Lim 
JO  - Journal of Engineering and Applied Sciences
VL  - 12
IS  - 9
SP  - 2525
EP  - 2531
PY  - 2017
DA  - 2001/08/19
SN  - 1816-949x
DO  - jeasci.2017.2525.2531
UR  - https://makhillpublications.co/view-article.php?doi=jeasci.2017.2525.2531
KW  - Exchange rates
KW  -VEC model
KW  -granger causality
KW  -variance decomposition
KW  -causality
AB  - 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%.
ER  -