Ahmad, Norzalina and Shahiri, Hazrul and Mohd Nor, Safwan and Aziz, Mukhriz Izraf Azman (2023) Connectedness analysis of price return index among Malaysian economic sectors. International Journal of Islamic and Middle Eastern Finance and Management, 16 (4). pp. 856-872. ISSN 1753-8394

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Abstract

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.

Item Type:	Article
Uncontrolled Keywords:	connectedness;business sector; COVID-19, price index
Subjects:	H Social Sciences > HD Industries. Land use. Labor
Divisions:	School of Economics, Finance & Banking
Depositing User:	Mr. Izhar Hj. Hashim
Date Deposited:	02 Nov 2026 14:00
Last Modified:	02 Nov 2026 14:00
URI:	https://repo.uum.edu.my/id/eprint/34363

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