The Linkages Between Stock Return And Macroeconomic Variables In Malaysia

The objective of this study is to examine the relationship between stock return and macroeconomic variables in Malaysia. Cointegration test is used to examine the existence of long run relationship between stock return and macroeconomic variables. Besides, Granger causality test is also used to s...

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Main Author:	Phang, Chee Kong
Format:	Thesis
Language:	English
Published:	2006
Subjects:	HF5001-6182 Business
Online Access:	http://eprints.usm.my/47470/1/PHANG%20CHEE%20KONG0000%20cut.pdf
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id	my-usm-ep.47470
record_format	uketd_dc
spelling	my-usm-ep.474702020-10-22T03:03:25Z The Linkages Between Stock Return And Macroeconomic Variables In Malaysia 2006 Phang, Chee Kong HF5001-6182 Business The objective of this study is to examine the relationship between stock return and macroeconomic variables in Malaysia. Cointegration test is used to examine the existence of long run relationship between stock return and macroeconomic variables. Besides, Granger causality test is also used to study the causal relationship between stock return and macroeconomic variables. In order to understand if there is any changes in the relationship on pre and post capital control period, the data is divided into pre capital control (1990 Q 1 to 1998 Q3) and post capital control ( 1998 Q4 to 2004 Q4) period. Cointegration test suggest the existence of long run relation between stock return and all the macroeconomic variables considered in the study, for the period before and after the implementation of capital control. The Granger causality test suggests bidirectional causal relationship between Kuala Lumpur Composite Index and macroeconomic before capital control, and unidirectional causality from macroeconomic variables to Kuala Lumpur Composite Index after capital control. The Granger causality test also suggests Second Board Index Granger causes macroeconomic variables before and after capital control. 2006 Thesis http://eprints.usm.my/47470/ http://eprints.usm.my/47470/1/PHANG%20CHEE%20KONG0000%20cut.pdf application/pdf en public masters Universiti Sains Malaysia Pusat Pengajian Siswazah Perniagaan
institution	Universiti Sains Malaysia
collection	USM Institutional Repository
language	English
topic	HF5001-6182 Business
spellingShingle	HF5001-6182 Business Phang, Chee Kong The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
description	The objective of this study is to examine the relationship between stock return and macroeconomic variables in Malaysia. Cointegration test is used to examine the existence of long run relationship between stock return and macroeconomic variables. Besides, Granger causality test is also used to study the causal relationship between stock return and macroeconomic variables. In order to understand if there is any changes in the relationship on pre and post capital control period, the data is divided into pre capital control (1990 Q 1 to 1998 Q3) and post capital control ( 1998 Q4 to 2004 Q4) period. Cointegration test suggest the existence of long run relation between stock return and all the macroeconomic variables considered in the study, for the period before and after the implementation of capital control. The Granger causality test suggests bidirectional causal relationship between Kuala Lumpur Composite Index and macroeconomic before capital control, and unidirectional causality from macroeconomic variables to Kuala Lumpur Composite Index after capital control. The Granger causality test also suggests Second Board Index Granger causes macroeconomic variables before and after capital control.
format	Thesis
qualification_level	Master's degree
author	Phang, Chee Kong
author_facet	Phang, Chee Kong
author_sort	Phang, Chee Kong
title	The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
title_short	The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
title_full	The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
title_fullStr	The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
title_full_unstemmed	The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
title_sort	linkages between stock return and macroeconomic variables in malaysia
granting_institution	Universiti Sains Malaysia
granting_department	Pusat Pengajian Siswazah Perniagaan
publishDate	2006
url	http://eprints.usm.my/47470/1/PHANG%20CHEE%20KONG0000%20cut.pdf
_version_	1747821784066949120

The Linkages Between Stock Return And Macroeconomic Variables In Malaysia

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