Macroeconomics determinants of stock market index in Malaysia

Macroeconomics determinants of stock market index in Malaysia

The main purpose of this research is to examine the relationship between macroeconomic variables and the stock market index in Malaysia. The macroeconomics variables consist of Interest Rate (IR), Inflation Rate (INF), Real Effective Exchange Rate (REER) and Crude Oil Price (CRU). There are 120 obse...

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Main Author: Suvarna Sree, Sellathurai
Format: Thesis
Language:eng
eng
Published: 2021
Subjects:
HJ Public Finance
Online Access:https://etd.uum.edu.my/10315/1/s826511_01.pdf
https://etd.uum.edu.my/10315/2/s826511_02.pdf
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spelling my-uum-etd.103152023-06-11T07:53:31Z Macroeconomics determinants of stock market index in Malaysia 2021-08-11 Suvarna Sree, Sellathurai Nordin, Sabariah School of Economics, Finance & Banking School of Economics, Finance & Banking HJ Public Finance The main purpose of this research is to examine the relationship between macroeconomic variables and the stock market index in Malaysia. The macroeconomics variables consist of Interest Rate (IR), Inflation Rate (INF), Real Effective Exchange Rate (REER) and Crude Oil Price (CRU). There are 120 observation data collected on monthly basis obtained from Bank Negara Malaysia and World Bank from year 2011 to 2020 for each variable. In addition, for the review of methodology of framework the relationship between the variables is investigated by using Unit Root Test, Johansen–Juselius Cointegration test, VECM estimation, Granger Causality test, Impulse Response Function and Variance Decomposition. The findings show that there is cointegration between stock market and macroeconomic variables. The results indicates that inflation rate, real effective exchange rate, crude oil price seem to significantly affect the FBMKLCI, but interest rate is insignificant. These variables should be emphasized whenever thegovernment implements any policy instrument with regards to the stock market. 2021-08 Thesis https://etd.uum.edu.my/10315/ https://etd.uum.edu.my/10315/1/s826511_01.pdf text eng 2024-08-11 staffonly https://etd.uum.edu.my/10315/2/s826511_02.pdf text eng public other masters Universiti Utara Malaysia
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Nordin, Sabariah
topic HJ Public Finance
spellingShingle HJ Public Finance
Suvarna Sree, Sellathurai
Macroeconomics determinants of stock market index in Malaysia
description The main purpose of this research is to examine the relationship between macroeconomic variables and the stock market index in Malaysia. The macroeconomics variables consist of Interest Rate (IR), Inflation Rate (INF), Real Effective Exchange Rate (REER) and Crude Oil Price (CRU). There are 120 observation data collected on monthly basis obtained from Bank Negara Malaysia and World Bank from year 2011 to 2020 for each variable. In addition, for the review of methodology of framework the relationship between the variables is investigated by using Unit Root Test, Johansen–Juselius Cointegration test, VECM estimation, Granger Causality test, Impulse Response Function and Variance Decomposition. The findings show that there is cointegration between stock market and macroeconomic variables. The results indicates that inflation rate, real effective exchange rate, crude oil price seem to significantly affect the FBMKLCI, but interest rate is insignificant. These variables should be emphasized whenever thegovernment implements any policy instrument with regards to the stock market.
format Thesis
qualification_name other
qualification_level Master's degree
author Suvarna Sree, Sellathurai
author_facet Suvarna Sree, Sellathurai
author_sort Suvarna Sree, Sellathurai
title Macroeconomics determinants of stock market index in Malaysia
title_short Macroeconomics determinants of stock market index in Malaysia
title_full Macroeconomics determinants of stock market index in Malaysia
title_fullStr Macroeconomics determinants of stock market index in Malaysia
title_full_unstemmed Macroeconomics determinants of stock market index in Malaysia
title_sort macroeconomics determinants of stock market index in malaysia
granting_institution Universiti Utara Malaysia
granting_department School of Economics, Finance & Banking
publishDate 2021
url https://etd.uum.edu.my/10315/1/s826511_01.pdf
https://etd.uum.edu.my/10315/2/s826511_02.pdf
_version_ 1776103789042860032

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