THE INTERRELATEDNESS OF MALAYSIAN EQUITY MARKETS, MONEY MARKETS AND FOREIGN EXCHANGE MARKET

Wan Mansor Mahmood

The IUP Journal of Financial Economics, 2006, vol. IV, issue 4, 35-47

Abstract: The paper examines the relationship among equity markets, money markets and the foreign exchange market in the Malaysian context. These three markets are proxies by the 3-month treasury bills of the money market, the Kuala Lumpur composite index for stock market, and the ringgit against Singapore dollar for the foreign exchange market. The time period for the study covers from January 1998 through December 2002. The results show that these markets are integrated over time in the long run. As for the short run, the results report the existence of significant bidirectional short run causal interaction only between exchange rates and money market rates. The issues are important to look into by investors, multinational companies and government alike, as disruption of any one market will have an effect on their strategies in the other markets.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjfe:v:04:y:2006:i:4:p:35-47

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