Connectedness Analysis Of Price Return Index Among Malaysian Economic Sectors
Journal: International Journal Of Islamic And Middle Eastern Finance And Management, 2023, 16(4), pp. 856-872, Q2 Author(s): Norzalina Ahmad, Hazrul Shahiri, Safwan Mohd Nor & Mukhriz Izraf Azman Aziz Link: doi.org/10.1108/IMEFM-11-2021-0454Abstract
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.