Abstract
PurposeThis study aims to explore the connectedness of price return index spillovers across eight economic sectors in the Malaysian stock market (Bursa Malaysia).Design/methodology/approachThe 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.FindingsThe 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/valueThe 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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Islamic and Middle Eastern Finance and Management
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
