Unraveling Cointegration and Causality between Covid-19 Dynamics and Malaysian Stock Market Returns: A Sequential Explanatory Mixed Methods Approach | [Pakistan Journal of Life and Social Sciences • 2025]

Author(s):

1. Wong Yin Theng: Faculty of Business and Finance, Universiti Tunku Abdul Rahman, Malaysia,

2. William Choo Keng Soon: Faculty of Business and Finance, Universiti Tunku Abdul Rahman, Malaysia,

3. Dinesh Kumar Saundra Rajan: Faculty of Business and Finance, Universiti Tunku Abdul Rahman, Malaysia,

Abstract:

The outbreak of COVID-19 pandemic has had a significant impact across the world and the performance of FTSE Bursa Malaysia KLCI has been influenced by several pandemic-related factors. This study will analyze the causal relationship and cointegration between the COVID-19 daily infect-ed cases, recovery cases, death cases, investor sentiment, government policy and the FTSE Bursa Malaysia KLCI stock return. The fundamental theory to support this study is Black Swan Theory. The potential black swan nature of COVID-19 pandemic and its effect on Malaysia stock mar-ket will be analyzed. While a lot of studies have been carried out to inves-tigate the short-term effect on stock market return in field of disease out-breaks, there is a need of study on the relationships and causal effects be-tween disease outbreaks and stock market performance over a long-term period. This study employs a sequential explanatory mixed methods ap-proach to explore the relationship between COVID-19 variables, investor sentiment, government policy, and the FTSE Bursa Malaysia KLCI stock return during the pandemic. The ARDL test results indicate no long-term cointegrating relationship between COVID-19 indicators like COVID-19 daily infected cases, recovery cases, death cases and FTSE Bursa Malaysia KLCI stock return, suggesting these do not significantly influence the FTSE Bursa Malaysia KLCI's long-term behavior. However, significant long-term relationships exist between FTSE Bursa Malaysia KLCI stock return and variables such as investor sentiment, government policy, gold prices, foreign exchange rates, and Brent crude oil prices.

Page(s): 6233-6248

DOI: 10.57239/PJLSS-2025-23.1.00485

Published: Journal: Pakistan Journal of Life and Social Sciences, Volume: 23, Issue: 1, Year: 2025

Keywords:

COVID19 Stock Return Malaysia

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