i Oil Price Shock and Malaysian Sectoral Stock Market Return

ii This research is aimed at studying the linkages between the movements of the oil prices with the Malaysian stock market return. Economic theories have established that oil price causes chain reaction effects on the real economic activities. Also, oil price changes and shocks is said to be one of the factors that influence the performance of the stock market. In this paper, Vector Autoregresssion (VAR) approach was used to determine the impact of the oil price changes on each Industry sector listed on Bursa Malaysia [formerly known as Kuala Lumpur Stock Exchange (KLSE)] by way of analysing the trend of the return on th