Publish In |
International Journal of Management and Applied Science (IJMAS)-IJMAS |
Journal Home Volume Issue |
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Issue |
Volume-4,Issue-11 ( Nov, 2018 ) | |||||||||
Paper Title |
The Impact of Oil Price Shocks on Stock Market Returns in Malaysia: The ARDL Approach | |||||||||
Author Name |
King You Soon, Qaiser Munir, Sook Ching Kok | |||||||||
Affilition |
Faculty of Business, Economics and Accountancy, Universiti Malaysia Sabah, Malaysia | |||||||||
Pages |
39-44 | |||||||||
Abstract |
This study analyses the impact of oil price shocks on Malaysia stock market using daily time series data for the period of 1987-2017. The Autoregressive Distributed Lag (ARDL) approach and Toda Yamamoto (1995) causality test are used to aid in the analyses of the study. Through the ARDL approach, the bound test results indicate the existence of a longrun relationship between crude oil and stock market returns. This study has discovered that oil price shocks have significant positive impact on the Malaysia stock market both in the long-run and short-run. On the other hand, the causality test reveals a unidirectional causality running from oil return to stock return. These results have important implications for the decisionmaking by policymakers. Keywords - Oil price shocks, Stock market return, Autoregressive Distributed Lag, Toda-Yamamoto | |||||||||
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