Is Stock Price Indices Interdependence? Evidence from the Kuala Lumpur Stock Exchange

23 Pages Posted: 19 Apr 2007

See all articles by Wan Mansor Mahmood

Wan Mansor Mahmood

Universiti Teknologi MARA (UiTM)

Noor Shahida Mat Zain

Universiti Teknologi MARA (UiTM)

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

Wan Mahmood, Wan Mansor and Mat Zain, Noor Shahida, Is Stock Price Indices Interdependence? Evidence from the Kuala Lumpur Stock Exchange (April 2007). Available at SSRN: https://ssrn.com/abstract=980884 or http://dx.doi.org/10.2139/ssrn.980884

Wan Mansor Wan Mahmood (Contact Author)

Universiti Teknologi MARA (UiTM) ( email )

Sura Hujung
Dungun, Terengganu 23000
Malaysia
609 8403774 (Phone)
609 8403777 (Fax)

HOME PAGE: http://www.tganu.uitm.edu.my/

Noor Shahida Mat Zain

Universiti Teknologi MARA (UiTM) ( email )

40450 Shah Alam
Johor
Dungun, Selangor 23000
Malaysia

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