Investigation On Malaysia's Private Mutual Funds \Vith Klci, Cpi, M2, And Ibr
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Date
2006
Authors
FADZIL, MOHAMAD HAFIZAL
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Abstract
The objectiye of the research is to study the relationship bet\wen mutual fund NAV and
macroeconomic variables in Malaysia. This research is looking at the factors that cannot be
control by the firms. The research used KLCI, EMAS index. M2, CPI and IBR as the
macroeconomic variable. Cointegration test is used to study the long run relationship berween
NAVand macroeconomic variables. Granger causality test is used to study the direction of
affect between variables in the research. Daily data since 151 January 2002 to 31 SI December
2005 is used in this research. Co integration test suggest there is 'a long run relationship
between NAV and macroeconomic variables in this research. The co integration test also shows
that there is a single cointegrating flmction between variables. Therefore, the research
proceeds with vector error correction model (VECM) to study the short run relationship. The
research performed Granger causality within VECM. The result shows KLCI, M2 and CPI
have causal unidirectional relationship with NA V.
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Investigation On Malaysia's Private Mutual Funds \ , Vith Klci, Cpi, M2, And Ibr