| Autor: |
Norzalina Ahmad, Hazrul Shahiri, Safwan Mohd Nor, Mukhriz Izraf Azman Aziz |
| Rok vydání: |
2023 |
| Předmět: |
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| Zdroj: |
International Journal of Islamic and Middle Eastern Finance and Management. 16:856-872 |
| ISSN: |
1753-8394 |
| Popis: |
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. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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