AN IMPLICATION OF QUANTILE REGRESSION MODEL ON STOCK MARKET ISSUES IN MALAYSIA

Abstract

Abstract: The economic instability caused by the presence of Covid-19 is a challenge for every nation to generate a source of income, especially when the stock market crisis occurs. Then, the purpose of this research is to examine the impact of various variables, including gold price, crude oil price, exchange rate, gross domestic product (GDP) and Covid-19 dummy on the stock market. To overcome the flaws, this study uses the Quantile Regression approach to understand how certain independent variables can affect stock prices based on each quantile distribution. It can provide an overview of potential risks and rewards for the stock market when the health crisis occurs in Malaysia. Next, this research data is conducted monthly from January 2010 to December 2022. Interestingly, the results of the study show that the price of gold has a long- term relationship effect on the issues of Malaysian stock markets for the 25th, 50th, 75th and 95th quantile regression models. However, the impact on the 10th, 20th, 30th and 40th quantile regression levels for the Malaysian stock market is influenced by oil prices and exchange rates. The research findings suggest that when faced with economic uncertainty, investors' confidence can be expanded by their dependence on low-risk assets. Therefore, this research helps investors, governments, and stakeholders consider any changes in macroeconomic factors before making decisions on the effectiveness of domestic stock market performance.