Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration

This article re-examines the relationship of several macroeconomics variables with Malaysia Stock Market Index, KLCI. The paper applies Johansen (1988) procedure and vector error correction model (VECM) for symmetric cointegration, while threshold cointegration test proposed by Enders and Siklos (2001) is used for asymmetric cointegration. Using quarterly time series data set spanning from 1990 to 2015, the findings show the presence of the long-run relationship between KLCI and the macroeconomics variable i.e., industrial production index, inflation rate, exchange rate and money supply. We also found evidence for asymmetric adjustment of the stock price index towards its long-run values. These results have particularly important policy implications, concerning the formulation of macroeconomic policy to achieve financial stability and thus contribute to the further development of Malaysian Stock Market Index

Crude palm oil price forecasting in Malaysia : an econometric approach

This paper aims to forecast the performance of crude palm oil price (CPO) in Malaysia by comparing several econometric forecasting techniques, namely Autoregressive Distributed Lag (ARDL), Autoregressive Integrated Moving Average (ARIMA) and Autoregressive Integrated Moving Average with exogenous inputs (ARIMAX). Using monthly time series data spanning from 2008 to 2017, the main results revealed that ARIMAX model is the most accurate and the most efficient model as compared to ARDL and ARIMA in forecasting the crude palm oil price. The results also show that the spot price of palm oil is highly influenced by stock of palm oil, crude petroleum oil price and soybean oil price. The empirical findings provide some insights for decision making and policy implementations, including the formulation of strategies to help the industry in dealing with the price changes and thus enable the Malaysian palm oil industry to continue dominating the international market