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- Title
Reaction of KLCI to the Extreme Movement of Dow Jones Industrial Average.
- Authors
Megat Muhammad Afif Bin Megat Muainuddin; Mohd Najmuddin Hasan; Mohd Amran Bin Jaafar
- Abstract
In this project we investigate the relationship between the Dow Jones Industrial Average (DJIA) and the Kuala Lumpur Composite Index(KLCI).Extreme movements in the DJIA and KLCI are compared and we examine the extent and magnitude of extreme movements in the KLCI as triggered by extreme movement in the Dow Jones. The data consists of historical indices for DJIA and KLCI. Due to the difference in the ranges of the KLCI and DJIA indices, percentage return is used for comparison. Pearson's correlation coefficient was used to determine the strength of the relationship between the two variables. This is followed by fitting the linear equation. Using hypothesis testing, extreme movements in returns of KLCI and DJIA are also compared Result shows there exist a moderate relationship between KLCI and DJIA. In particular, we found that regardless of the magnitude of change in both the DJIA and KLCI, the two indices move in the same direction more often than in opposite directions. Thus, KLCI traders should consider this finding when trying to predict directional changes in the movement of KLCI with respect to DJIA.
- Subjects
DOW Jones industrial average; STOCK exchanges; ECONOMIC indicators; MARKET volatility; INDUSTRIAL management
- Publication
Global Business & Management Research, 2018, Vol 10, Issue 3, p1133
- ISSN
1947-5667
- Publication type
Article