International Journal of Islamic And Middle Eastern Finance And Management ( IF 2.853 ) Pub Date : 2023-02-28 , DOI: 10.1108/imefm-11-2021-0454 Norzalina Ahmad , Hazrul Shahiri , Safwan Mohd Nor , Mukhriz Izraf Azman Aziz
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.
中文翻译:
马来西亚经济部门之间价格回报指数的关联性分析
目的
本研究旨在探讨马来西亚股票市场(马来西亚证券交易所)八个经济部门的价格回报指数溢出效应的关联性。
设计/方法/途径
该分析使用了 2005 年 5 月 10 日至 2021 年 2 月 24 日的行业价格指数每日数据。该研究使用贝叶斯时变参数向量自回归。
发现
价格回报指数溢出的程度随时间变化,在 2020 年 COVID-19 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递者,而公用事业经济部门是指数回报溢出的主要接收者.
原创性/价值
研究结果对于投资者、市场参与者、企业和政策制定者为弱势行业制定行动计划至关重要。进一步增强了投资者做出投资决策的信心。