A Comparison Between Ordinary Least Square And Robust Regression And Its Application In Macroeconomic Variables

This thesis investigates the relationship between stock market price and macroeconomic variables in Malaysia. There are six macroeconomic factors selected for this study namely Gross Domestic Product (GDP), Exchange Rate (ER), Money Supply (MI), Inflation Rate (IR) and Based Lending Rate (BLR)....

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Main Author:	Siti Nor Syazwani Binti Ab Shatar
Format:	Thesis
Language:	English
Subjects:	stock market price macroeconomic in Malaysia
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id	my-usim-ddms-12742
record_format	uketd_dc
spelling	my-usim-ddms-127422024-05-29T04:45:30Z A Comparison Between Ordinary Least Square And Robust Regression And Its Application In Macroeconomic Variables Siti Nor Syazwani Binti Ab Shatar This thesis investigates the relationship between stock market price and macroeconomic variables in Malaysia. There are six macroeconomic factors selected for this study namely Gross Domestic Product (GDP), Exchange Rate (ER), Money Supply (MI), Inflation Rate (IR) and Based Lending Rate (BLR). The widely adopted method in examining this relationship is regression analysis in which the Ordinary Least Square (OLS) method is applied. OLS however has a limitation since the economic data is subjected to the influence of outliers. To overcome such problem, a robust regression is employed by using M-estimation and comparison is made to the OLS procedure. The results demonstrate that the robust regression procedure is able to generate reliable results as well as diagnosing a few outliers in the analysis. The findings are substantiated with diagnostic procedures, which include leverage identification, standardized residual, studentized residual, DFFITS and Cook's Distance in order to identify the presence of outliers in the model. Universiti Sains Islam Malaysia 2015-11 Thesis en https://oarep.usim.edu.my/handle/123456789/12742 https://oarep.usim.edu.my/bitstreams/c27f3892-ff01-429d-a292-6c0a7d932364/download 8a4605be74aa9ea9d79846c1fba20a33 stock market price macroeconomic in Malaysia Gross Domestic Product (GDP), Exchange Rate (ER), Money Supply (MI), Inflation Rate (IR), Based Lending Rate (BLR)
institution	Universiti Sains Islam Malaysia
collection	USIM Institutional Repository
language	English
topic	stock market price macroeconomic in Malaysia stock market price
spellingShingle	stock market price macroeconomic in Malaysia stock market price Siti Nor Syazwani Binti Ab Shatar A Comparison Between Ordinary Least Square And Robust Regression And Its Application In Macroeconomic Variables
description	This thesis investigates the relationship between stock market price and macroeconomic variables in Malaysia. There are six macroeconomic factors selected for this study namely Gross Domestic Product (GDP), Exchange Rate (ER), Money Supply (MI), Inflation Rate (IR) and Based Lending Rate (BLR). The widely adopted method in examining this relationship is regression analysis in which the Ordinary Least Square (OLS) method is applied. OLS however has a limitation since the economic data is subjected to the influence of outliers. To overcome such problem, a robust regression is employed by using M-estimation and comparison is made to the OLS procedure. The results demonstrate that the robust regression procedure is able to generate reliable results as well as diagnosing a few outliers in the analysis. The findings are substantiated with diagnostic procedures, which include leverage identification, standardized residual, studentized residual, DFFITS and Cook's Distance in order to identify the presence of outliers in the model.
format	Thesis
author	Siti Nor Syazwani Binti Ab Shatar
author_facet	Siti Nor Syazwani Binti Ab Shatar
author_sort	Siti Nor Syazwani Binti Ab Shatar
title	A Comparison Between Ordinary Least Square And Robust Regression And Its Application In Macroeconomic Variables
title_short	A Comparison Between Ordinary Least Square And Robust Regression And Its Application In Macroeconomic Variables
title_full	A Comparison Between Ordinary Least Square And Robust Regression And Its Application In Macroeconomic Variables
title_fullStr	A Comparison Between Ordinary Least Square And Robust Regression And Its Application In Macroeconomic Variables
title_full_unstemmed	A Comparison Between Ordinary Least Square And Robust Regression And Its Application In Macroeconomic Variables
title_sort	comparison between ordinary least square and robust regression and its application in macroeconomic variables
granting_institution	Universiti Sains Islam Malaysia
_version_	1812444918449176576

A Comparison Between Ordinary Least Square And Robust Regression And Its Application In Macroeconomic Variables

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