Macroeconomic Fundamentals, Stock Market and Economic Growth
This study investigates the dynamic relationships amongst the KLSE stock prices, macro variables and economic growth. It is a general belief that the macro variables, namely the inflation rate, interest rate, aggregate output, money supply, exchange rate and the trade balance are some prominent f...
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| 主要作者: | |
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| 格式: | Thesis |
| 语言: | English English |
| 出版: |
2000
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| 主题: | |
| 在线阅读: | http://psasir.upm.edu.my/id/eprint/8259/1/FEP_2000_7_IR.pdf |
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| 总结: | This study investigates the dynamic relationships amongst the KLSE stock prices,
macro variables and economic growth. It is a general belief that the macro
variables, namely the inflation rate, interest rate, aggregate output, money supply,
exchange rate and the trade balance are some prominent factors to the performance
of the stock market. The stock market, in tum, is one of the leading indicators for
the economic growth.
The VAR model of Johansen-Jeselius multivariate cointegration test, multivariate
Granger-causality test, and also the impulse response function are applied to
capture the dynamic linkages among those variables over the period of 1987:1 to
1997:2. In this study, the Composite Index is used to represent the general
performance of the market. The performance of individual sectors, on the other
hand, is measured by the individual sectoral indices. These sectoral indices include the Industrial Index, Finance Index, Property Index, Plantation Index and the
Mining Index.
The empirical results of this study indicate that the stock indices and
macroeconomic variables are moving together towards its equilibrium path in the
long run. In the short run, there are evidences of contemporaneous causality
running between the variables. The results show that the general performance of
market, which is reflected by the Composite Index, is caused by the changes in
inflation, output, money supply and the trade balance. The sectoral performance,
on the other hand, has shown different responses to the fluctuations in the
macroeconomic variables. The property sector appears to be the least sensible to
these fluctuations.
Besides, the physical capital, stock capitalisation and its trading activities are also
the important factors that contribute to the economic growth. This study thus
implies that an efficient management of macroeconomic policies will promote a
better performance of stock market, which in turn helps to achieve a stronger and
sustainable economic growth. |
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