Is Stock Price Indices Interdependence? Evidence from the Kuala Lumpur Stock Exchange
23 Pages Posted: 19 Apr 2007
Date Written: April 2007
Abstract
This paper discusses some of the issues related to the construction and interpretation of stock price indices most widely used in the Kuala Lumpur Stock Exchange: the Composite index, the EMAS index, the Second Board index and the Industrial index. Each of the indices represents a benchmark portfolio for a different segment of the stock market. The study also compares the movements of the indices over the period between 1995 through 2000. The results show that the indices are highly integrated in all cases. There is no obvious indication of large size market capitalisation of indices particularly the Composite index leads other indices. The results suggest each index contain similar information content regardless of their size.
Keywords: Stock indices, cointegration, error correction model, Kuala Lumpur stock exchange.
JEL Classification: F31, G15
Suggested Citation: Suggested Citation
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