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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my-upm-ir.82592023-12-20T03:06:50Z Macroeconomic Fundamentals, Stock Market and Economic Growth 2000-05 Chong, Lee Lee 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. Macroeconomics Economics 2000-05 Thesis http://psasir.upm.edu.my/id/eprint/8259/ http://psasir.upm.edu.my/id/eprint/8259/1/FEP_2000_7_IR.pdf text en public masters Universiti Putra Malaysia Macroeconomics Economics Faculty of Economics and Management Tan, Hui Boon English |
| institution |
Universiti Putra Malaysia |
| collection |
PSAS Institutional Repository |
| language |
English English |
| advisor |
Tan, Hui Boon |
| topic |
Macroeconomics Economics |
| spellingShingle |
Macroeconomics Economics Chong, Lee Lee Macroeconomic Fundamentals, Stock Market and Economic Growth |
| description |
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. |
| format |
Thesis |
| qualification_level |
Master's degree |
| author |
Chong, Lee Lee |
| author_facet |
Chong, Lee Lee |
| author_sort |
Chong, Lee Lee |
| title |
Macroeconomic Fundamentals, Stock Market and Economic Growth |
| title_short |
Macroeconomic Fundamentals, Stock Market and Economic Growth |
| title_full |
Macroeconomic Fundamentals, Stock Market and Economic Growth |
| title_fullStr |
Macroeconomic Fundamentals, Stock Market and Economic Growth |
| title_full_unstemmed |
Macroeconomic Fundamentals, Stock Market and Economic Growth |
| title_sort |
macroeconomic fundamentals, stock market and economic growth |
| granting_institution |
Universiti Putra Malaysia |
| granting_department |
Faculty of Economics and Management |
| publishDate |
2000 |
| url |
http://psasir.upm.edu.my/id/eprint/8259/1/FEP_2000_7_IR.pdf |
| _version_ |
1794018732232671232 |