The Impact Of Oil Prices On The Malaysian Stock Market: Linear And Nonlinear Analysis
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Crude oil and other oil derivatives have been one of the most important factors in countries’ movement toward industrialization. For years, large companies and high amount of production depended totally on energy, which has been produced by oil. Therefore, any change in the crude oil prices might affect corporations and as a result their stock prices. Many researches have been conducted in different countries to study the relationship between oil price changes and stock market. The differences in methods that are used in those researches, the differences between sizes of stock markets and the situation of countries toward oil products (being net importer or net exporter) have caused different results.
The lack of general acceptance among academicians about this relationship and the lack of studies on this matter in the Malaysia were the reasons behind the current research. By using the EGARCH model, this study tried to find the relationship between the Brent oil prices and 10 sectors’ indices in the Malaysian stock market.