马来西亚经济部门间价格回报指数的关联性分析

IF 2.8 3区经济学 Q2 BUSINESS, FINANCE

International Journal of Islamic and Middle Eastern Finance and Management Pub Date : 2023-02-28 DOI:10.1108/imefm-11-2021-0454

Norzalina Ahmad, Hazrul Shahiri, Safwan Mohd Nor, Mukhriz Izraf Azman Aziz

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引用次数: 0

摘要

目的本研究旨在探讨马来西亚股市（Bursa Malaysia）中八个经济部门的价格回报指数溢出的连通性。设计/方法/方法分析使用2005年5月10日至2021年2月24日的部门价格指数每日数据。该研究使用贝叶斯时变参数向量自回归。发现价格回报指数溢出程度随时间变化，在2020年新冠肺炎大流行期间达到前所未有的高度。工业经济部门是价格指数回报冲击的主要传导者，而公用事业经济部门是指数回报溢出的主要接受者。原创性/价值研究结果对投资者、市场参与者、企业和政策制定者制定弱势行业行动计划至关重要。它进一步增强了投资者做出投资决策的信心。

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Connectedness analysis of price return index among Malaysian economic sectors

Purpose This study aims to explore the connectedness of price return index spillovers across eight economic sectors in the Malaysian stock market (Bursa Malaysia). Design/methodology/approach The analysis uses daily data of sectoral price index from 10 May 2005 to 24 February 2021. The study uses Bayesian time-varying parameter vector autoregressive. Findings The degree of price return index spillovers varies over time, reaching unprecedented heights during the COVID-19 pandemic in 2020. The industrial economic sector is the main transmitter of price index return shock, whereas the utilities economic sector is the dominant receiver of index return spillovers. Originality/value The findings are critical for investors, market participants, businesses and policymakers in developing action plans for the vulnerable sectors. It further enhances investors’ confidence in making investment decisions.

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来源期刊

International Journal of Islamic and Middle Eastern Finance and Management Multiple-

CiteScore

5.40

自引率

10.00%

发文量

期刊介绍： The International Journal of Islamic and Middle Eastern Finance and Management (IMEFM) publishes quality and in-depth analysis on current issues within Islamic and Middle Eastern finance and management. The journal welcomes strong evidence-based empirical studies and results-focused case studies that share research in product development and clarify best practices. The title is also keen to consider work from emerging authors. IMEFM has just also accepted into Clarivate''s SSCI in 2018, and its IF will be available in summer 2019, with citations dating from 2016. The coverage includes but is not limited to: -Islamic finance: Fundamentals, trends and opportunities in Islamic Finance, Islamic banking and financial markets, Risk management, Corporate finance, Investment strategy, Islamic social finance, Financial planning, Housing finance, Legal and regulatory issues, -Islamic management: Corporate governance, Customer relationship management and service quality, Business ethics and corporate social responsibility, Management styles and strategies in Shariah environments, Labour and welfare economics, Political economy. The journal is the only title aiming to give an interdisciplinary and holistic view on Islamic finance and business management practices in order to inform these two intertwined communities.