Examining the pre-and post-effects of financial crises on the stock market in Malaysia using wavelet approach

The fluctuations in stock market prices are a significant cause for concern, both domestically and globally, given the substantial reliance of a country's economy on these market dynamics. In particular, Malaysia's stock market has felt the impacts from numerous global socioeconomic upheav...

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Main Author:	Waris, Muhammad
Format:	Thesis
Language:	eng eng
Published:	2023
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/11079/1/deposit%20permission.pdf https://etd.uum.edu.my/11079/2/s904821_01.pdf
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id	my-uum-etd.11079
record_format	uketd_dc
spelling	my-uum-etd.110792024-03-26T00:27:55Z Examining the pre-and post-effects of financial crises on the stock market in Malaysia using wavelet approach 2023 Waris, Muhammad Din, Badariah Ghazali Shafie Graduate School of Government Ghazali Shafie Graduate Scool of Govemment HG Finance The fluctuations in stock market prices are a significant cause for concern, both domestically and globally, given the substantial reliance of a country's economy on these market dynamics. In particular, Malaysia's stock market has felt the impacts from numerous global socioeconomic upheavals and crises, making it one of the most affected stock markets in recent years. This study aims to examine the relationship of co-integration of risk and causality between Malaysia's stock market and those of its trading partners, while also elaborating the pivotal role played by the Malaysian government in guiding the nation during key financial upheavals, such as the Asian Financial Crisis (1997-1998), the Global Financial Crisis (2008-2009), and the COVID-19 pandemic (2020-2021). To achieve these research objectives, this study utilized the wavelet approach, analysing Morgan Stanley Capital International (MSCI) daily indices derived from the DataStream database. Stock markets of selected countries were examined, including Malaysia, China, India, Pakistan, Singapore, Indonesia, UK, USA, Germany, and France. The research findings reveal a noticeable high-frequency co-integration pattern between Malaysia’s stock markets and those of its trading partners during the periods of the crises. Moreover, strong evidence from various methodologies validates the hypothesis that Malaysia has successfully achieved economic integration with its trading partners, including emerging markets and Organisation for Economic Co-operation and Development (OECD) countries, across distinctive time horizon. Moreover, this study shows that all Worldwide Governance Indicators (WGI) are positively correlated with the Malaysian stock market, except for Voice and Accountability. Pertaining to Voice and Accountability, the intervention role of the Malaysian government has a negative impact on the stock market. Additionally, the results of the portfolio analysis suggest that by constructing an effective portfolio for Malaysia, incorporating investments in China, Germany, France, Pakistan, Indonesia, the UK, and Japan, investors can attain favourable risk-adjusted returns in the short run due to stable dynamic condition correlation. Meanwhile, in the long run, Malaysia’s portfolio involving investments in the USA and India is subject to the influence of an unstable dynamic conditional correlation existed between these stock markets. This study argues that the USA serves as strong safe haven and hedge opportunity, while China, France, Germany, Singapore, Pakistan, and the UK act as diversifiers for the Malaysian market during the turmoil period. 2023 Thesis https://etd.uum.edu.my/11079/ https://etd.uum.edu.my/11079/1/deposit%20permission.pdf text eng staffonly https://etd.uum.edu.my/11079/2/s904821_01.pdf text eng public phd doctoral Universiti Utara Malaysia
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
advisor	Din, Badariah
topic	HG Finance
spellingShingle	HG Finance Waris, Muhammad Examining the pre-and post-effects of financial crises on the stock market in Malaysia using wavelet approach
description	The fluctuations in stock market prices are a significant cause for concern, both domestically and globally, given the substantial reliance of a country's economy on these market dynamics. In particular, Malaysia's stock market has felt the impacts from numerous global socioeconomic upheavals and crises, making it one of the most affected stock markets in recent years. This study aims to examine the relationship of co-integration of risk and causality between Malaysia's stock market and those of its trading partners, while also elaborating the pivotal role played by the Malaysian government in guiding the nation during key financial upheavals, such as the Asian Financial Crisis (1997-1998), the Global Financial Crisis (2008-2009), and the COVID-19 pandemic (2020-2021). To achieve these research objectives, this study utilized the wavelet approach, analysing Morgan Stanley Capital International (MSCI) daily indices derived from the DataStream database. Stock markets of selected countries were examined, including Malaysia, China, India, Pakistan, Singapore, Indonesia, UK, USA, Germany, and France. The research findings reveal a noticeable high-frequency co-integration pattern between Malaysia’s stock markets and those of its trading partners during the periods of the crises. Moreover, strong evidence from various methodologies validates the hypothesis that Malaysia has successfully achieved economic integration with its trading partners, including emerging markets and Organisation for Economic Co-operation and Development (OECD) countries, across distinctive time horizon. Moreover, this study shows that all Worldwide Governance Indicators (WGI) are positively correlated with the Malaysian stock market, except for Voice and Accountability. Pertaining to Voice and Accountability, the intervention role of the Malaysian government has a negative impact on the stock market. Additionally, the results of the portfolio analysis suggest that by constructing an effective portfolio for Malaysia, incorporating investments in China, Germany, France, Pakistan, Indonesia, the UK, and Japan, investors can attain favourable risk-adjusted returns in the short run due to stable dynamic condition correlation. Meanwhile, in the long run, Malaysia’s portfolio involving investments in the USA and India is subject to the influence of an unstable dynamic conditional correlation existed between these stock markets. This study argues that the USA serves as strong safe haven and hedge opportunity, while China, France, Germany, Singapore, Pakistan, and the UK act as diversifiers for the Malaysian market during the turmoil period.
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Waris, Muhammad
author_facet	Waris, Muhammad
author_sort	Waris, Muhammad
title	Examining the pre-and post-effects of financial crises on the stock market in Malaysia using wavelet approach
title_short	Examining the pre-and post-effects of financial crises on the stock market in Malaysia using wavelet approach
title_full	Examining the pre-and post-effects of financial crises on the stock market in Malaysia using wavelet approach
title_fullStr	Examining the pre-and post-effects of financial crises on the stock market in Malaysia using wavelet approach
title_full_unstemmed	Examining the pre-and post-effects of financial crises on the stock market in Malaysia using wavelet approach
title_sort	examining the pre-and post-effects of financial crises on the stock market in malaysia using wavelet approach
granting_institution	Universiti Utara Malaysia
granting_department	Ghazali Shafie Graduate School of Government
publishDate	2023
url	https://etd.uum.edu.my/11079/1/deposit%20permission.pdf https://etd.uum.edu.my/11079/2/s904821_01.pdf
_version_	1804888186139181056

Examining the pre-and post-effects of financial crises on the stock market in Malaysia using wavelet approach

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