MACROECONOMIC VOLATILITY ON STOCK PRICES VOLATILITY DURING GLOBAL FINANCIAL CRISIS IN MALAYSIA

Geok Peng Yeap, H. Lean
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Abstract

This study examines the impact of macroeconomic volatility on the stock market volatility in Malaysia before and after the Global Financial Crisis (GFC). We attempt to examine the impact of GFC on the relationship between the volatility of macroeconomic and Malaysian stock market volatility. We find that none of the macroeconomic volatility would affect the stock market volatility in the pre-GFC period. Moreover, the volatility of crude oil price is positively and significantly affects the Malaysian stock market volatility during and post-GFC. This implies that Malaysian stock market is sensitive to the crude oil price volatility during and after GFC.
宏观经济波动对全球金融危机期间马来西亚股价波动的影响
本研究考察了宏观经济波动对全球金融危机(GFC)前后马来西亚股市波动的影响。我们试图检验全球金融危机对宏观经济波动与马来西亚股市波动之间关系的影响。我们发现,在全球金融危机前,宏观经济波动不会影响股市波动。此外,原油价格波动对全球金融危机期间和之后的马来西亚股市波动具有显著的正向影响。这意味着马来西亚股市对全球金融危机期间和之后的原油价格波动非常敏感。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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