/jurnalpengurusan Sat, 08 Oct 2022 14:29:51 +0000 en-US hourly 1 https://wordpress.org/?v=6.9.1 /jurnalpengurusan/article/the-lead-lag-relationships-of-equity-fund-flows-evidence-of-an-emerging-market/?utm_source=rss&utm_medium=rss&utm_campaign=the-lead-lag-relationships-of-equity-fund-flows-evidence-of-an-emerging-market Sat, 08 Oct 2022 11:35:52 +0000 /jurnalpengurusan/?post_type=article&p=2562 This study examines the lead-lag relationships among four arrays of equity fund flows into Malaysian equity market. The equity fund flows are of (1) local institutional and retail investors and (2) foreign institutional and retail investors. Using a daily aggregate data, the findings of this study reveal that foreign institutional equity fund flows have an impact on both local institutional and retail equities’ fund flows. However, local institutional equity fund flows do not have relationships with either foreign institutional or retail equity fund flows. This research also shows that there is a bi-directional causality between local retail and foreign institutional equities’ fund flows. However, there is a uni-directional causality running from local retail to foreign retail equity fund flows. The finding also discloses that there is no lead-lag relationship between foreign institutional and retail equities’ fund flows. Even though both local institutional and retail equities’ fund flows influence each other, the impact of local institutional on local retail equity fund flows is stronger. Fund flows own innovations explain more on the variability in both foreign institutional and retail equities’ fund flows, as well as local retail equity fund flows. However, innovations in other types of equity fund flows on aggregate basis explain more on the variability in local institutional equity fund flows as opposed to its own innovations. Finally, among the four categories of equity traders, foreign institutions and local retailers seem to drive Malaysian equity market.

]]> /jurnalpengurusan/article/the-co-movement-between-exchange-rates-and-stock-prices-in-an-emerging-market/?utm_source=rss&utm_medium=rss&utm_campaign=the-co-movement-between-exchange-rates-and-stock-prices-in-an-emerging-market Sat, 08 Oct 2022 10:11:40 +0000 /jurnalpengurusan/?post_type=article&p=2435 The aim of this paper is to examine the co-movement between exchange rates and stock prices of both the market and industries (industrial products and consumer products) in Malaysia from March 1994 to December 2013. Motivated by inconclusive evidences of previous studies to support the flow oriented and stock oriented hypothesis, the study applied error correction model including the Long Run Structural Model (LRSM) and variance decompositions to examine the relationship between exchange rates and stock prices. The findings suggest that the direction of causality runs from exchange rates to stock prices which are consistent with flow oriented theory. The influence of exchange rate, however, varies across industries with importing firms appearing as the most affected; indicating that Malaysian market is not homogenous. The major policy implication that can be deduced from the study is that active policy on currency management through monetary instrument (i.e. interest rates) will be helpful to stimulate the development of stock market in emerging countries like Malaysia

]]>