EconPapers    
Economics at your fingertips  
 

The Influence of Oil Price Shocks on Stock Market Returns: Fresh Evidence from Malaysia

Ekhlas Al-hajj, Usama Al-mulali () and Sakiru Solarin
Additional contact information
Ekhlas Al-hajj: Faculty of Business, Multimedia University, 75450 Melaka, Malaysia

International Journal of Energy Economics and Policy, 2017, vol. 7, issue 5, 235-244

Abstract: This study investigates the influence of oil price shocks on Malaysia stock market returns by including interest rate, real effective exchange rate, industrial production index and inflation, as important factors of the stock market returns in Malaysia over the period of January, 1991 to December, 2016. Narayan and Popp (2010) test was applied to check the stationary property of the variables. Autoregressive distributed lag (ARDL) bounds test showed the existence of a long run relationship among the variables. ARDL long run analysis results showed that oil price, interest rate, real effective exchange rate have negative impact on the stock market return of Malaysia, whereas industrial production has a positive impact. However, the inflation impact on the stock market return was insignificant. The vector error correction model granger causality results confirmed the existence of the long run causality. However, the short run causality showed that only interest rate and real effective exchange rate granger cause the Malaysian stock market returns.

Keywords: Oil Price Shocks; Malaysia Stock Market Returns; Autoregressive Distributed Lag (search for similar items in EconPapers)
JEL-codes: C32 O53 Q43 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://www.econjournals.com/index.php/ijeep/article/download/5664/3334 (application/pdf)
https://www.econjournals.com/index.php/ijeep/article/view/5664/3334 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2017-05-26

Access Statistics for this article

International Journal of Energy Economics and Policy is currently edited by Ilhan Ozturk

More articles in International Journal of Energy Economics and Policy from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().

 
Page updated 2019-10-05
Handle: RePEc:eco:journ2:2017-05-26