Connectedness analysis of price return index among Malaysian economic sectors

ABSTRACT

Purpose: This study aims to explore the connectedness of price return index spillovers across eight economic sectors in the Malaysian stock market (Bursa Malaysia). Design/methodology/approach: The analysis uses daily data of sectoral price index from 10 May 2005 to 24 February 2021. The study uses Bayesian time-varying parameter vector autoregressive. Findings: The degree of price return index spillovers varies over time, reaching unprecedented heights during the COVID-19 pandemic in 2020. The industrial economic sector is the main transmitter of price index return shock, whereas the utilities economic sector is the dominant receiver of index return spillovers. Originality/value The findings are critical for investors, market participants, businesses and policymakers in developing action plans for the vulnerable sectors. It further enhances investors' confidence in making investment decisions. © 2023, Emerald Publishing Limited.