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Relationship between Macroeconomic Variables and Stock Market: Case Study from Malaysia

Research in Economics and Management

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Field Value
 
Title Relationship between Macroeconomic Variables and Stock Market: Case Study from Malaysia
 
Creator Khong, Yeen Lai,
Tang, Kin Leong,
Ling, Tee Peck
 
Description This study investigate the relationship between macroeconomic variables and FTSE Bursa Malaysia KLCI, the samples are divided into 2 groups such as foreign macroeconomic variables and local macroeconomic variables, foreign macroeconomic variables consist of Gold Bullion LBM price and Dow Jones Index, meanwhile local macroeconomic variables consist of Consumer Price Index, Base Lending Rate, Exchange Rate. This study employs data from Jan 2000 to Dec 2013 which contains a monthly data set of 168 observations. There are 3 methodologies used in this study to investigate the relationship, the first test is Unit Root test which used to test the stationary of each variable, the results indicate that all the variables are stationary in first difference, this is important to use stationary variables because if the variables are not stationary, it might lead to spurious regression. The second methodology is Johansen & Juselius Co-integration test to investigate the long run relationship among these variables, the results show that the foreign macroeconomic variables and local macroeconomic variables have long run relationship with KLCI and significant. Next, this study will investigate the short run relationship between macroeconomic variables and KLCI, the results indicate that Gold, BLR and CPI can granger cause KLCI and significant at 1%, 5% significance level respectively.
 
Publisher SCHOLINK INC.
 
Contributor —
 
Date 2019-03-12
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.scholink.org/ojs/index.php/rem/article/view/1883
10.22158/rem.v4n2p102
 
Source Research in Economics and Management; Vol 4, No 2 (2019); p102
2470-4393
2470-4407
 
Language eng
 
Relation http://www.scholink.org/ojs/index.php/rem/article/view/1883/2034
 
Rights Copyright (c) 2019 Yeen Lai Khong
http://creativecommons.org/licenses/by/4.0