Exploring the nexus between oil price shocks and sectoral stock returns: a new evidence from stock exchange in Malaysia

Ekhlas Al-hajj (), Usama Al-mulali () and Sakiru Solarin
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Ekhlas Al-hajj: Multimedia University

Economic Change and Restructuring, 2021, vol. 54, issue 1, No 8, 199-217

Abstract: Abstract This paper uses monthly data from 2000:05 to 2016:11 to investigate the relationship between oil price shocks and stock market returns of the nine economic sectors listed on Bursa Malaysia while incorporating oil price, interest rate, exchange rate, industrial production, and inflation into the regression. In order to avoid issue arising from the presence of the structural breaks, Narayan and Popp (J Appl Stat 37(9):1425–1438, 2010) unit root and autoregressive distributed lag (ARDL) with structural breaks were utilized. The ARDL bounds test results illustrate that all the sectors are cointegrated except trading/services and plantation sectors. The results further show that oil price has a significant negative impact on the property, mining, and technology sectors stock market returns.

Keywords: Oil price shocks; Stock market returns; Malaysian sectors; Narayan and Popp (2010); ARDL model (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10644-020-09271-y

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