Abstrak
Tujuan utama kajian ini ialah untuk menganalisis keberkesanan dasar kawalan modal terpilih Malaysia ke atas kesan integrasi dan kemasukan pengaruh luar ke pasaran ekuiti di Malaysia. Kajian empirik dijalankan dalam dua masa berbeza iaitu sebelum dasar kawalan modal (Januari 1995 hingga Mei 1997) dan selepas dasar kawalan modal (Januari 1995 hingga Mei 1997) dan selepas dasar kawalan modal (September 1998 hingga Disember 1999). Kajian empirik telah dijalankan menggunakan kaedah Vektor Autogregresif (VAR) merangkumi kointegrasi multivariate Johansen-Juselius, Model Vektor Pembetulan-Ralat (VECM), dan Fungsi Tindak Balas (IRFs). Kaedah ekonometrik ini mampu untuk mengesan kemasukan pengaruh asing ke pasaran saham domestik melalui terma pembetulan ralat (ECT), jika perlu. Keputusan kajian menunjukkan bahawa selepas dasar kawalan modal integrasi antara pasaran ekuiti masih dikekalkan dengan tindakbalas yang lebih meliar.

Abstract
The main purpose of this paper is to analyze the impact of Malaysian selective capital control policy on the international transmission of stock price movement and international market integration. Empirical study was done on two different time regimes, i.e. before capital control (January 1995 until May 1997) and after capital control (September 1998 until December 1999). Vector Autoregressive (VAR) model including Johansen-Juselius multivariate cointegration test, vector error-correction model (VECM), and impulse response functions (IRFs) were utilised. The above econometric methods together with ECTs are capable of detecting the impact of external forces on domestic stock markets. The results showed that after the capital control policy was imposed, the integration between equity markets is still maintained with a greater and wilder responses.