Determinants of Malaysian environmental, Social and Governance (ESG) stock market index

This study investigates the interlinkage between the selected macroeconomic variables and the ESG index price for the case of Malaysia in a restricted VAR (VECM) framework. The conventional econometric techniques and methodology used with a complementary test to detect both long run and short run dy...

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Main Author:	Mohammad Affiq, Saini
Format:	Thesis
Language:	eng eng eng eng
Published:	2020
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/10293/1/permission.pdf https://etd.uum.edu.my/10293/2/s820649_01.pdf https://etd.uum.edu.my/10293/3/s820649_02.pdf https://etd.uum.edu.my/10293/4/s820649_references.docx
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id	my-uum-etd.10293
record_format	uketd_dc
spelling	my-uum-etd.102932023-02-09T02:13:54Z Determinants of Malaysian environmental, Social and Governance (ESG) stock market index 2020 Mohammad Affiq, Saini Mohd Rashid, Rasidah School of Economics, Finance & Banking School of Economics, Finance & Banking HG Finance This study investigates the interlinkage between the selected macroeconomic variables and the ESG index price for the case of Malaysia in a restricted VAR (VECM) framework. The conventional econometric techniques and methodology used with a complementary test to detect both long run and short run dynamics co-integration. Based on the tests that have been carried out the findings have shown that changes in interest rate, exchange rate and consumer price index have a co-integration relationship with a positive long-term relationship between the interest rate and the consumer price index, however the exchange rate is inverse. Also, based on the results, it showed that there is no co-integration between the macroeconomic variables and stock market price in the short run. With that, it is representing that Malaysian stock market, specifically those grouped in the ESG index, is sensitive to the changes in the macroeconomic variables in the long run. As the index consists of a major industry in Malaysia, any decision making towards the macroeconomic variables must be adhered with cautious as it will affect the stock market. Apart from that, the model used in the paper has been proved by statically diagnostic that it is stable and dynamic in the long run. 2020 Thesis https://etd.uum.edu.my/10293/ https://etd.uum.edu.my/10293/1/permission.pdf text eng staffonly https://etd.uum.edu.my/10293/2/s820649_01.pdf text eng public https://etd.uum.edu.my/10293/3/s820649_02.pdf text eng public https://etd.uum.edu.my/10293/4/s820649_references.docx text eng public other masters Universiti Utara Malaysia
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng eng eng
advisor	Mohd Rashid, Rasidah
topic	HG Finance
spellingShingle	HG Finance Mohammad Affiq, Saini Determinants of Malaysian environmental, Social and Governance (ESG) stock market index
description	This study investigates the interlinkage between the selected macroeconomic variables and the ESG index price for the case of Malaysia in a restricted VAR (VECM) framework. The conventional econometric techniques and methodology used with a complementary test to detect both long run and short run dynamics co-integration. Based on the tests that have been carried out the findings have shown that changes in interest rate, exchange rate and consumer price index have a co-integration relationship with a positive long-term relationship between the interest rate and the consumer price index, however the exchange rate is inverse. Also, based on the results, it showed that there is no co-integration between the macroeconomic variables and stock market price in the short run. With that, it is representing that Malaysian stock market, specifically those grouped in the ESG index, is sensitive to the changes in the macroeconomic variables in the long run. As the index consists of a major industry in Malaysia, any decision making towards the macroeconomic variables must be adhered with cautious as it will affect the stock market. Apart from that, the model used in the paper has been proved by statically diagnostic that it is stable and dynamic in the long run.
format	Thesis
qualification_name	other
qualification_level	Master's degree
author	Mohammad Affiq, Saini
author_facet	Mohammad Affiq, Saini
author_sort	Mohammad Affiq, Saini
title	Determinants of Malaysian environmental, Social and Governance (ESG) stock market index
title_short	Determinants of Malaysian environmental, Social and Governance (ESG) stock market index
title_full	Determinants of Malaysian environmental, Social and Governance (ESG) stock market index
title_fullStr	Determinants of Malaysian environmental, Social and Governance (ESG) stock market index
title_full_unstemmed	Determinants of Malaysian environmental, Social and Governance (ESG) stock market index
title_sort	determinants of malaysian environmental, social and governance (esg) stock market index
granting_institution	Universiti Utara Malaysia
granting_department	School of Economics, Finance & Banking
publishDate	2020
url	https://etd.uum.edu.my/10293/1/permission.pdf https://etd.uum.edu.my/10293/2/s820649_01.pdf https://etd.uum.edu.my/10293/3/s820649_02.pdf https://etd.uum.edu.my/10293/4/s820649_references.docx
_version_	1776103783817805824

Determinants of Malaysian environmental, Social and Governance (ESG) stock market index

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