IDEAS home Printed from https://ideas.repec.org/a/icf/icfjfe/v05y2007i3p7-27.html
   My bibliography  Save this article

Statistical Evaluation of Market Barometer in Malaysian Stock Market

Author

Listed:
  • Chin Wen Cheong

Abstract

This paper investigates how the Kuala Lumpur Composite Index (KLCI) serves as the common indicator for the Malaysian stock market. The author hypothesizes that KLCI should perform significant interrelationship with all the multi-sector indices not only in the price series, but also the return, and volatility series. The logarithm prices, continuous compounded return and Autoregressive Conditional Heteroskedastic (ARCH)-type estimated asymmetric long memory volatility are used to examine this hypothesis. The co-movement among the price indices is tested using the Johansen cointegration methodology. Meanwhile, the linkages between the return and volatility of KLCI and multi-sectors are determined by the Granger causality tests. The author finds that the KLCI symbolizes the overall performance of Malaysian stock market, especially for the Main Board listed companies and partially for the Second Board index.

Suggested Citation

  • Chin Wen Cheong, 2007. "Statistical Evaluation of Market Barometer in Malaysian Stock Market," The IUP Journal of Financial Economics, IUP Publications, vol. 0(3), pages 7-27, September.
    • Handle: RePEc:icf:icfjfe:v:05:y:2007:i:3:p:7-27
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:icf:icfjfe:v:05:y:2007:i:3:p:7-27. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: G R K Murty (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.