Hubungan Dinamik antara Pasaran Saham dengan Kadar Pertukaran: Bukti Empirikal di Asean-3

Authors

  • Abu Hassan Shaari Mohd Nor Fakulti Ekonomi dan Pengurusan Universiti Kebangsaan Malaysia, Malaysia
  • Mori Kogid Fakulti Ekonomi dan Pengurusan Universiti Kebangsaan Malaysia, Malaysia
  • Tamat Sarmidi Fakulti Ekonomi dan Pengurusan Universiti Kebangsaan Malaysia, Malaysia

DOI:

https://doi.org/10.32890/ijms2012.19.2.8

Keywords:

SP, REER, kointegrasi, Penyebab Granger, perubahan struktur

Abstract

Tujuan utama kajian ini adalah untuk menentukan hubungan antara pasaran saham dengan kadar pertukaran di negara ASEAN terpilih iaitu Malaysia, Thailand dan Filipina. Dengan menggunakan data bulanan bermula Januari 1994 hingga September 2011, hasil ujian Johansen dengan perubahan struktur menunjukkan wujud hubungan kointegrasi antara pasaran saham dengan kadar pertukaran bagi kes Malaysia dan Filipina sahaja. Walau bagaimanapun, hasil ujian penyebab Granger jangka pendek berdasarkan pendekatan dinamik VECM dan Toda-Yamamoto menunjukkan wujud hubungan penyebab dua hala antara pasaran saham dengan kada pertukaran bagi kes Malaysia dan Thailand dengan darjah hubungan penyebab Granger yang kuat daripada kadar pertukaran kepada pasaran saham di Malaysia. Sebaliknya tiada hubungan penyebab dapat dikesan bagi kes Filipina. Dua hasil penting daripada kajian ini adalah: (1) Kajian ini mencadangkan bahawa krisis kewangan Asia dan krisis ekonomi global memberikan kesan yang berbeza terhadap hubungan dinamik antara pasaran saham dengan kadar pertukaran di tiga negara yang dikaji; (2) Implikasi dasar ekonomi berkaitan hubungan antara pasaran saham dengan kadar pertukaran adalah bersifat khusus kepada sesebuah negara.
 
Kata Kunci: SP, REER, kointegrasi, Penyebab Granger, perubahan struktur.

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Published

30-12-2012

Issue

Vol. 19 No. 2 (2012): International Journal of Management Studies (IJMS) Vol. 19, No. 2 December 2012

Section

Articles

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Harvested 2026-09-08
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Identifiers DOI 10.32890/ijms2012.19.2.8

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