Return And Correlations Of Malaysian Sector Stock Indices Under Different Market Conditions.
| dc.contributor.author | Lee, Sze Aoh | |
| dc.date.accessioned | 2016-09-20T01:34:51Z | |
| dc.date.available | 2016-09-20T01:34:51Z | |
| dc.date.issued | 2015-10 | |
| dc.description.abstract | This study look at potential diversification benefits of investing between sectors and the index within Malaysian Market. In additional, this study examines returns and correlations of seven Malaysian sector indices along with Kuala Lumpur Composite Index (KLCI) under different market conditions from January 2008 to December 2014. Data used for this study are 84 monthly historical data. The seven Bursa Malaysia sectors examined are finance, consumer products, properties, constructions, plantation, industrial products and trading & services. There are 3 parts of the study, where first part is to examine the correlations and t-statistics of all sector indices with KLCI. Second part of the study examine the correlations and t-statistic among seven sectors. Finally, the relationship among all sectors and also with KLC are being tested under different market conditions (bull and bear market) to understand the room for diversification. The results showed that all sectors monthly returns are positively correlated with KLCI monthly returns and among each sector during January 2008 to December 2014. When the returns are being analyzed separately under bull and bear market conditions, all sectors also show that they are highly correlated with other sectors. The sector returns for overall period, bull and bear market also being tested using principal component analysis and give the give the same result that all sectors are highly correlated with each other regardless of market conditions. As a result, the study conclude that all sector indices and highly correlated regardless of market conditions and investment time frame. Thus, opportunities for diversification within Bursa Malaysia is extremely limited. | en_US |
| dc.identifier.uri | http://hdl.handle.net/123456789/2541 | |
| dc.subject | Correlations Of Malaysian Sector Stock Indices | en_US |
| dc.subject | Different Market Conditions | en_US |
| dc.title | Return And Correlations Of Malaysian Sector Stock Indices Under Different Market Conditions. | en_US |
| dc.type | Thesis | en_US |
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