The Effects of Macroeconomic Fundamentals on the Stock Prices Movement in Selected Countries

The Effects of Macroeconomic Fundamentals on the Stock Prices Movement in Selected Countries

For centuries, the stock market has been the backbone of the economy serving as a crucial platform for buying and selling securities. This study contributes to investigate the symmetric and asymmetric effects of macroeconomic fundamentals on stock prices of the selected countries: Indonesia, Malaysi...

Full description

Saved in:
Bibliographic Details
Main Author: Peck Ching, Sia
Format: Thesis
Language:English
English
English
Published: 2023
Subjects:
HB Economic Theory
Online Access:http://ir.unimas.my/id/eprint/43200/6/Thesis%20MSc._%20Sia%20Peck%20Ching%20-%2024%20pages.pdf
http://ir.unimas.my/id/eprint/43200/10/Sia%20Peck%20Ching_dsva.pdf
http://ir.unimas.my/id/eprint/43200/11/Sia%20Peck%20Ching%20ft.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
id my-unimas-ir.43200
record_format uketd_dc
spelling my-unimas-ir.432002024-05-13T09:41:22Z The Effects of Macroeconomic Fundamentals on the Stock Prices Movement in Selected Countries 2023-10-23 Peck Ching, Sia HB Economic Theory For centuries, the stock market has been the backbone of the economy serving as a crucial platform for buying and selling securities. This study contributes to investigate the symmetric and asymmetric effects of macroeconomic fundamentals on stock prices of the selected countries: Indonesia, Malaysia, and Singapore. Generally, these three countries have different stages of development where Indonesia and Malaysia are both emerging countries while Singapore is a developed country. These three ASEAN countries have various monetary policies in addition to their disparate economic condition. Previous research has thoroughly investigated the relationship between stock prices and macroeconomic issues, but it was believed that the relationship is symmetrical. There is a scarcity of empirical information on the asymmetric effect of macroeconomic fundamentals on stock prices. This study using two different approaches: autoregressive distributed lag (ARDL) approach and nonlinear autoregressive distributed lag (NARDL) to overcome the limitation of previous studies. The study used time series data based on quarterly observations from 1999 to 2021. Given the results, inflation, interest rate, and exchange rate show nonlinear effect on stock prices in Indonesia. In Malaysia, the results show nonlinear effect of interest rate and exchange rate on stock prices. However, most of the models are insignificant for Singapore. Therefore, policymakers should optimize the asymmetric effect of inflation, interest rate, and exchange rate according to the nature of each country. Universiti Malaysia Sarawak 2023-10 Thesis http://ir.unimas.my/id/eprint/43200/ http://ir.unimas.my/id/eprint/43200/6/Thesis%20MSc._%20Sia%20Peck%20Ching%20-%2024%20pages.pdf text en public http://ir.unimas.my/id/eprint/43200/10/Sia%20Peck%20Ching_dsva.pdf text en public http://ir.unimas.my/id/eprint/43200/11/Sia%20Peck%20Ching%20ft.pdf text en validuser masters Universiti Malaysia Sarawak Faculty of Economics and Business
institution Universiti Malaysia Sarawak
collection UNIMAS Institutional Repository
language English
English
English
topic HB Economic Theory
spellingShingle HB Economic Theory
Peck Ching, Sia
The Effects of Macroeconomic Fundamentals on the Stock Prices Movement in Selected Countries
description For centuries, the stock market has been the backbone of the economy serving as a crucial platform for buying and selling securities. This study contributes to investigate the symmetric and asymmetric effects of macroeconomic fundamentals on stock prices of the selected countries: Indonesia, Malaysia, and Singapore. Generally, these three countries have different stages of development where Indonesia and Malaysia are both emerging countries while Singapore is a developed country. These three ASEAN countries have various monetary policies in addition to their disparate economic condition. Previous research has thoroughly investigated the relationship between stock prices and macroeconomic issues, but it was believed that the relationship is symmetrical. There is a scarcity of empirical information on the asymmetric effect of macroeconomic fundamentals on stock prices. This study using two different approaches: autoregressive distributed lag (ARDL) approach and nonlinear autoregressive distributed lag (NARDL) to overcome the limitation of previous studies. The study used time series data based on quarterly observations from 1999 to 2021. Given the results, inflation, interest rate, and exchange rate show nonlinear effect on stock prices in Indonesia. In Malaysia, the results show nonlinear effect of interest rate and exchange rate on stock prices. However, most of the models are insignificant for Singapore. Therefore, policymakers should optimize the asymmetric effect of inflation, interest rate, and exchange rate according to the nature of each country.
format Thesis
qualification_level Master's degree
author Peck Ching, Sia
author_facet Peck Ching, Sia
author_sort Peck Ching, Sia
title The Effects of Macroeconomic Fundamentals on the Stock Prices Movement in Selected Countries
title_short The Effects of Macroeconomic Fundamentals on the Stock Prices Movement in Selected Countries
title_full The Effects of Macroeconomic Fundamentals on the Stock Prices Movement in Selected Countries
title_fullStr The Effects of Macroeconomic Fundamentals on the Stock Prices Movement in Selected Countries
title_full_unstemmed The Effects of Macroeconomic Fundamentals on the Stock Prices Movement in Selected Countries
title_sort effects of macroeconomic fundamentals on the stock prices movement in selected countries
granting_institution Universiti Malaysia Sarawak
granting_department Faculty of Economics and Business
publishDate 2023
url http://ir.unimas.my/id/eprint/43200/6/Thesis%20MSc._%20Sia%20Peck%20Ching%20-%2024%20pages.pdf
http://ir.unimas.my/id/eprint/43200/10/Sia%20Peck%20Ching_dsva.pdf
http://ir.unimas.my/id/eprint/43200/11/Sia%20Peck%20Ching%20ft.pdf
_version_ 1804888425429467136

Similar Items