The study is pursued with the objective to examine the effect of changes in crude
oil price and three macroeconomic variables, namely exhange rate (RMIUSD),
overnight lending rate (OLR), and money supply (Ml) on the performance of
public listed companies in Bursa Malaysia as proxied by Kuala Lumpur
Campsite Index (KLCI). The study employs Engle-Granger Cointegration test
and Johansen-Juselius Multivariate Cointegration on the investigated variables.
Using time series data from January 1983 through December 2006, the
empirical findings show there exists a significant long-term relationship between
KLCI performance and the four variables. The test results from Impulse
Response Function and Variance Decomposition, however, fail to support the
presence of a dynamic interaction between KLCI and the investigated variables.
Interestingly, the test results form Granger Causality test indicate a significant
role of money supply in influencing the performance of KLCI The empirical
findings from this study do have direct policy implications for regulators,
international traders and investors.
