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Who Moves the Malaysian Stock Market— the U.S. or Japan?: Empirical Evidence from the Pre-, During, and Post-1997 Asian Financial Crisis

Gadjah Mada International Journal of Business (GamaIJB) · Vol. 8 No. 3 (2006) · pp. 367–406

DOI
10.22146/gamaijb.5616
ISSN
2338-7238, 1411-1128
Published
2006-09-12
Publisher
Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Language
eng

Abstract

This paper examines long run co-movements between Malaysian stock market and the two largest stock markets in the world: the U.S. and Japan. By employing time-series analysis, i.e., cointegration, variance decompositions, and impulse response functions, the paper seeks to investigate which market actually leads the Malaysian stock market before, during, and after the 1997 Asian financial crisis periods. The results indicate that there is a co-movement of these markets only in the post crisis period. The Japanese stock market is found to significantly move the Malaysian stock market compared to U.S. stock market for the post-crisis period. At the same time, there seems to be a growing proportion of bilateral trade between Malaysia and Japan during the mentioned period. This finding seems to be consistent with the view that the stronger the bilateral trade ties between two countries, the higher the degree of co-movements (Masih and Masih 1999; Bracker et al. 1999; Pretorius 2002; Ibrahim 2003; Kearney and Lucey 2004). Our finding implies that the opportunities of gaining abnormal profits through investment diversification during the post-crisis period in the Malaysian and Japanese stock markets are diminishing as the markets move towards a greater integration. This further implies that any development in the Japanese economy has to be taken into consideration by the Malaysian government in designing policies pertaining to Malaysian stock market.

Keywords

Collaboration network of the authors

13 authors · 16 co-authorship links · 10 across different organisations

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • International Islamic University Malaysia
  • Universitas Syiah Kuala
  • Universiti Malaysia Sarawak
  • Universiti Teknologi Petronas
  • International Centre for Education in Islamic Finance
  • Universiti Sains Malaysia
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Hartomi MaulanaAffiliation unknown1
Said MusnadiUniversitas Syiah Kuala1
Indra Yadi PutraUniversitas Syiah Kuala1
Bakri bin Abdul KarimUniversiti Malaysia Sarawak1
Samsul Ariffin Abdul KarimUniversiti Teknologi Petronas1
Naziruddin AbdullahInternational Islamic University Malaysia1
Salina KassimInternational Islamic University Malaysia1
Mohd Azmi OmarInternational Centre for Education in Islamic Finance1
Ronald RulindoInternational Islamic University Malaysia1
Hasan BasriUniversitas Syiah Kuala1
A.K. Siti‐NabihaUniversiti Sains Malaysia1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, first harvested 28 Okt 2026, last seen 28 Okt 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en-US">Who Moves  the Malaysian Stock Market— the U.S. or Japan?: Empirical Evidence from the Pre-, During, and  Post-1997 Asian Financial Crisis</dc:title>
	<dc:creator>Mohd. Yusof, Rosylin</dc:creator>
	<dc:creator>Abd. Majid, M. Shabri</dc:creator>
	<dc:subject xml:lang="en-US">cointegration; diversification benefit; impulse response functions; stock market integration; variance decompositions</dc:subject>
	<dc:description xml:lang="en-US">This paper examines long run co-movements between Malaysian stock market and the two largest stock markets in the world: the U.S. and Japan. By employing time-series analysis, i.e., cointegration, variance decompositions, and impulse response functions, the paper seeks to investigate which market actually leads the Malaysian stock market before, during, and after the 1997 Asian financial crisis periods. The results indicate that there is a co-movement of these markets only in the post crisis period. The Japanese stock market is found to significantly move the Malaysian stock market compared to U.S. stock market for the post-crisis period. At the same time, there seems to be a growing proportion of bilateral trade between Malaysia and Japan during the mentioned period. This finding seems to be consistent with the view that the stronger the bilateral trade ties between two countries, the higher the degree of co-movements (Masih and Masih 1999; Bracker et al. 1999; Pretorius 2002; Ibrahim 2003; Kearney and Lucey 2004). Our finding implies that the opportunities of gaining abnormal profits through investment diversification during the post-crisis period in the Malaysian and Japanese stock markets are diminishing as the markets move towards a greater integration. This further implies that any development in the Japanese economy has to be taken into consideration by the Malaysian government in designing policies pertaining to Malaysian stock market.</dc:description>
	<dc:publisher xml:lang="en-US">Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada</dc:publisher>
	<dc:date>2006-09-12</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.ugm.ac.id/gamaijb/article/view/5616</dc:identifier>
	<dc:identifier>10.22146/gamaijb.5616</dc:identifier>
	<dc:source xml:lang="en-US">Gadjah Mada International Journal of Business; Vol 8, No 3 (2006): September-December; 367-406</dc:source>
	<dc:source>2338-7238</dc:source>
	<dc:source>1411-1128</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/5616/4588</dc:relation>
	<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/5616/4589</dc:relation>
</oai_dc:dc>