Impact of capital control measures on the Malaysian stock market: A multiresolution analysis

Abstract

Purpose: The purpose of this paper is to examine the extent to which the capital control measures implemented by the Malaysian central bank in late 1998 had an influence on segmenting the Malaysian equity market from other major equity markets. Design/methodology/approach: The S&P 500, the Nikkei 225 Index, the STI Index and the KLSE Composite Index are considered. The discrete wavelet transform technique - "Haar" is employed to decompose the series into various time scales during the pre- and post-capital control periods in Malaysia. The decomposed series are then used to estimate the interdependence between KLSE Composite Index with the other three markets at various time scales. Findings:..