The data for the composite stock price index required in this research are the data for the closing months of the Indonesia Stock Exchange Composite Index (JCI), KLCI
at the Kuala Lumpur Stock Exchange, the Straits Times Index on the Singapore Stock Exchange, PSEI in Philippines Stock Exchange and the Stock Exchange of Thailand SET in the period of January 2003 until December 2013.
Part of the FTSE Bursa Malaysia Index Series, the FTSE Bursa Malaysia KLCI
is widely used by investors as the primary benchmark for the Malaysian market, including derivatives through FTSE Bursa Malaysia KLCI
Futures (FKLI), FTSE Bursa Malaysia KLCI
Based on the VAR model in table 6, looking at the last column, the asymptotic Granger Chi-squared statistics are statistically significant at one per cent for growth style index to granger cause LEI, KLCI
, industrial index and value style index.
Figure 1 shows the Listed Construction Companies Indices in comparison to KLCI
Bursa Malaysia's benchmark FBM KLCI
index rose by up to 123.
(Malaysia), Stock Exchange Weighted (Taiwan), HangSeng (Hong Kong), Jakarta Stock Exchange Composite (Indonesia), Straits Times (New) (Singapore) and SET 100 Basic Industries (Thailand) Abdullah y Ling KLCI
(Malaysia) Semanal , 2011 Qiu et al.
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It includes such indexes as BEL 20 (Belgium stock market), BSE Sensex (Bombay stock market index), S&P CNX Nifty 50 (India stock market index), ISE National 100 (Istanbul stock market index), KLCI
(Malaysia stock market index), IGBM (Madrid stock market index), TSE (Taiwan stock market index), Tepix (Iran stock market index), etc.
We used daily closing stock prices denominated in local currency for the Philippines Stock Exchange Index (denoted in the runs as PSEi) in the case of the Philippines, the FTSE Straits Times Index (denoted as FSSTI Index) for Singapore, the FTSE Bursa Malaysia KLCI
Index (denoted as FBMKLCI) for Malaysia, the Stock Exchange of Thailand (denoted as SET) for Thailand, and the Jakarta Composite Index (denoted as JCI Index) for Indonesia for the period from 4 January 2000 to 31 December 2010.
The FTSE Bursa Malaysia KLCI
, which tracks the top 30 Malaysian companies on the local stock exchange, has placed more blue-chip stocks on the radar of foreign institutional investors as well as fund managers since it was implemented a year ago.
mt] returns on market index during period t, whereby the KLCI
has been used as the market index in this study; [[alpha].
In late August 1997, the authorities designated the top 100 indexed KLCI