Vector Error Correction Model; Vector Auto regression Model; Macroeconomic Variable; Sectoral Indices

The aim of this study is to investigate the dynamic movement between sectoral indices in the Malaysian Stock Market and  the three macroeconomic variables, namely oil price (OP), gold price (GP), and exchange rate (ER) during the period 1995-2014. Using the Augmented Dickey-Fuller and Phillip Perron unit root test, the underlying series are tested as non-stationary at the level but stationary in first difference. The use of Johansen-Juselius (1990) Multivariate Cointegration and Vector Error Correction Model indicate that there is long run linkages between macroeconomic variable and sectoral indices specifically in Technology sector. Meanwhile, the analysis based on Vector Auto regression Model technique indicates that there are short run linkages between macroeconomic variable and sectoral indices namely Financial, Industrial, Consumer Product, Industrial Product, Properties and Trade and Service.