The impact of GST implementation on the Malaysian stock market index volatility: An empirical approach

The impact of GST implementation on the Malaysian stock market index volatility: An empirical approach

Purpose The purpose of this paper is to examine the impact of the Goods and Service Tax (GST) implementation on Malaysian stock market index. Design/methodology/approach This study used daily closing prices of the Malaysian stock in...

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Những tác giả chính: Haron, Razali, Ayojimi, Salami Mansurat
Định dạng: Bài viết
Ngôn ngữ:English
Được phát hành: University of Economics Ho Chi Minh City 2023
Truy cập trực tuyến:https://www.emerald.com/insight/content/doi/10.1108/JABES-06-2018-0027/full/html
http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115563
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spelling oai:scholar.dlu.edu.vn:DLU123456789-1155632023-03-08T04:10:08Z The impact of GST implementation on the Malaysian stock market index volatility: An empirical approach Haron, Razali Ayojimi, Salami Mansurat Purpose The purpose of this paper is to examine the impact of the Goods and Service Tax (GST) implementation on Malaysian stock market index. Design/methodology/approach This study used daily closing prices of the Malaysian stock index and futures markets for the period ranging from June 2009 to November 2016. Empirical estimation is based on the generalised autoregressive conditional heteroscedasticity (1, 1) model for pre- and post-announcement of the GST. Findings Result shows that volatility of Malaysian stock market index increases in the post-announcement than in the pre-announcement of the GST which indicates that educative programs employed by the government before the GST announcement did not yield meaningful result. The volatility of the Malaysian stock market index is persistent during the GST announcement and highly persistent after the implementation. Noticeable increase in post-announcement is in support with the expectation of the market about GST policy in Malaysia. Practical implications The finding of this study is consistent with expectation of the market that GST policy will increase the price of the goods and services and might reduce standard of living. This is supported by a noticeable increase in the volatility of the Malaysian stock market index in the post-announcement of GST which is empirically shown during the announcement and after the implementation of GST. Although the GST announcement could be classified as a scheduled announcement, unwillingness to accept the policy prevails in the market as shown by the increase in the market volatility. Originality/value Past studies on Malaysian stock market index volatility focus on the impact of Asian and global financial crisis whereas this study examines the impact of the GST announcement and implementation on the volatility of the Malaysian stock market index. 2023-03-08T04:10:08Z 2023-03-08T04:10:08Z 2019 Article 2515-964X https://www.emerald.com/insight/content/doi/10.1108/JABES-06-2018-0027/full/html http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115563 10.1108/JABES-06-2018-0027 en Journal of Asian Business and Economic Studies, Volume 26, Issue 1; p. 17-33 application/pdf University of Economics Ho Chi Minh City
institution Thư viện Trường Đại học Đà Lạt
collection Thư viện số
language English
description Purpose The purpose of this paper is to examine the impact of the Goods and Service Tax (GST) implementation on Malaysian stock market index. Design/methodology/approach This study used daily closing prices of the Malaysian stock index and futures markets for the period ranging from June 2009 to November 2016. Empirical estimation is based on the generalised autoregressive conditional heteroscedasticity (1, 1) model for pre- and post-announcement of the GST. Findings Result shows that volatility of Malaysian stock market index increases in the post-announcement than in the pre-announcement of the GST which indicates that educative programs employed by the government before the GST announcement did not yield meaningful result. The volatility of the Malaysian stock market index is persistent during the GST announcement and highly persistent after the implementation. Noticeable increase in post-announcement is in support with the expectation of the market about GST policy in Malaysia. Practical implications The finding of this study is consistent with expectation of the market that GST policy will increase the price of the goods and services and might reduce standard of living. This is supported by a noticeable increase in the volatility of the Malaysian stock market index in the post-announcement of GST which is empirically shown during the announcement and after the implementation of GST. Although the GST announcement could be classified as a scheduled announcement, unwillingness to accept the policy prevails in the market as shown by the increase in the market volatility. Originality/value Past studies on Malaysian stock market index volatility focus on the impact of Asian and global financial crisis whereas this study examines the impact of the GST announcement and implementation on the volatility of the Malaysian stock market index.
format Article
author Haron, Razali
Ayojimi, Salami Mansurat
spellingShingle Haron, Razali
Ayojimi, Salami Mansurat
The impact of GST implementation on the Malaysian stock market index volatility: An empirical approach
author_facet Haron, Razali
Ayojimi, Salami Mansurat
author_sort Haron, Razali
title The impact of GST implementation on the Malaysian stock market index volatility: An empirical approach
title_short The impact of GST implementation on the Malaysian stock market index volatility: An empirical approach
title_full The impact of GST implementation on the Malaysian stock market index volatility: An empirical approach
title_fullStr The impact of GST implementation on the Malaysian stock market index volatility: An empirical approach
title_full_unstemmed The impact of GST implementation on the Malaysian stock market index volatility: An empirical approach
title_sort impact of gst implementation on the malaysian stock market index volatility: an empirical approach
publisher University of Economics Ho Chi Minh City
publishDate 2023
url https://www.emerald.com/insight/content/doi/10.1108/JABES-06-2018-0027/full/html
http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115563
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