The impact of global oil price volatility on the sectors in Malaysia

The volatility of oil prices correlates with major international crises, namely the Asian Economic Crisis of 1997, the 2001 Recession, the 2007-2008 Financial Crisis, and most recently, the Covid-19 pandemic (2020-2021). In response to these related incidents, the current study aims to determine the...

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Bibliographic Details
Main Authors: Hamzah, Siti Raihana, Haris, Nurul Afiqah Abd, Ishak, Norizarina, Rasedee, Ahmad Fadly Nurullah
Format: Conference Proceeding
Language:English
Subjects:
Autoregressive models
Capital assets
COVID-19
Crude oil
Pandemics
Real estate
Recessions
Statistical analysis
Volatility
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Summary:The volatility of oil prices correlates with major international crises, namely the Asian Economic Crisis of 1997, the 2001 Recession, the 2007-2008 Financial Crisis, and most recently, the Covid-19 pandemic (2020-2021). In response to these related incidents, the current study aims to determine the impacted sectors in Malaysia during the Covid-19 pandemic and the Recession of 2001. In this study, the authors focus on data from January 1998 till November 2001 for Recession 2001 and January 2018 till September 2021 for Covid-19. Data are daily sector indices of the Malaysian market comprised of data from the Construction, Consumer, Energy, Finance, Real Estate, Telecommunication, and Utilities sectors. This study employed various statistical analyses, such as autoregressive integrated moving average (ARIMA), Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family model, persistency, half-life, and capital asset pricing model (CAPM) effect. These were used to analyze these corresponding events and their impact on the sectors. As a result, the study will show how global oil price volatility affects different sectors in Malaysia. This research will also assist in determining which model is best used to describe these various events and will subsequently help future-proof the investors from any impending crisis.
ISSN:0094-243X
1551-7616
DOI:10.1063/5.0172692