Does US Stock Market affect Malaysia Stock Market during Covid-19 Pandemic?

Nurhuda Binti Nizar; Nur Zahida Bahrudin; Norliza Che Yahya; Siti Norbaya Mohd Rashid; Florentina Kurniasari Tehubijuluw

Nurhuda Binti Nizar Universiti Teknologi MARA, Puncak Alam, Malaysia http://orcid.org/0000-0001-9353-2118
Nur Zahida Bahrudin Universiti Teknologi MARA, Puncak Alam, Malaysia http://orcid.org/0000-0002-6607-9810
Norliza Che Yahya Universiti Teknologi MARA, Puncak Alam, Malaysia http://orcid.org/0000-0002-9794-2007
Siti Norbaya Mohd Rashid Universiti Teknologi MARA, Puncak Alam, Malaysia http://orcid.org/0000-0001-5457-7620
Florentina Kurniasari Tehubijuluw Universitas Multimedia Nusantara, Indonesia http://orcid.org/0000-0001-5528-247X

Abstract

The purpose of this study is to explore the possibility of spillovers in return from the US Stock market return to the Malaysia Stock market. VAR models, Granger causality tests, and Generalized Autoregressive Conditional Heteroscedastic (GARCH) models are conducted in this study. This research considers the daily closing price of the Malaysian stock market indexes (FTSE Bursa Malaysia KLCI), spanning from February 4 2020 to 21st Mac 2022. The period of this research allows the empirical analysis during the period of the hike Covid19 cases. The empirical result concludes that return spillover is found to be unidirectional from the US stock market to the Malaysia stock market. The results of this investigation may have important implications regarding international investment, portfolio diversification, and risk management.

Research paper

Keywords: COVID-19, GARCH, Financial Markets, Malaysian Stock Markets

Reference to this paper should be made as follows: Binti Nizar, N., Bahrudin, N. Z., Che Yahya, N., Mohd Rashid, S. N., & Tehubijuluw, F. K. (2022). Does US Stock Market affect Malaysia Stock Market during Covid-19 Pandemic?. Journal of Entrepreneurship, Business and Economics, 10(2S1), 124–143.