Monetary Policy, Inflation Rate, and Stock Market in Malaysia

The purpose of this study is to examine the relationship between monetary policy, inflation rate, and stock market in Malaysia. The techniques used in this study are Unit Root test, Johansen's Cointegration test, Pairwise Granges Causality test, Multivariate VAR tests, Impulse Response, Varian...

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Main Author:	Yeap, Sin Yean
Format:	Thesis
Language:	eng eng
Published:	2004
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/1469/1/YEAP_SIN_YEAN.pdf https://etd.uum.edu.my/1469/2/1.YEAP_SIN_YEAN.pdf
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id	my-uum-etd.1469
record_format	uketd_dc
spelling	my-uum-etd.14692013-07-24T12:12:04Z Monetary Policy, Inflation Rate, and Stock Market in Malaysia 2004 Yeap, Sin Yean Faculty of Economics Faculty of Economics HG Finance The purpose of this study is to examine the relationship between monetary policy, inflation rate, and stock market in Malaysia. The techniques used in this study are Unit Root test, Johansen's Cointegration test, Pairwise Granges Causality test, Multivariate VAR tests, Impulse Response, Variance Decomposition and Multivariate Error Correction Model (ECM) tests. Five variables used in this study are exchange rate, lending rate, consumer price, and aggregate money supply. Data will be collected monthly and the data will be divided into two periods. The first period will be from January 1980 until August 1998 representing the period before the government pegged the exchange rate. The second period will start from September 1998 until September 2003 representing the period after the government had pegged the exchange rate. The major findings are : (i) there exist a dynamic interaction between monetary policy, inflation rate and stock market in Malaysia, and (ii) there is a linkage between the variables and stock market before and after the government had pegged the exchange rate. 2004 Thesis https://etd.uum.edu.my/1469/ https://etd.uum.edu.my/1469/1/YEAP_SIN_YEAN.pdf application/pdf eng validuser https://etd.uum.edu.my/1469/2/1.YEAP_SIN_YEAN.pdf application/pdf eng public masters masters Universiti Utara Malaysia
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
topic	HG Finance
spellingShingle	HG Finance Yeap, Sin Yean Monetary Policy, Inflation Rate, and Stock Market in Malaysia
description	The purpose of this study is to examine the relationship between monetary policy, inflation rate, and stock market in Malaysia. The techniques used in this study are Unit Root test, Johansen's Cointegration test, Pairwise Granges Causality test, Multivariate VAR tests, Impulse Response, Variance Decomposition and Multivariate Error Correction Model (ECM) tests. Five variables used in this study are exchange rate, lending rate, consumer price, and aggregate money supply. Data will be collected monthly and the data will be divided into two periods. The first period will be from January 1980 until August 1998 representing the period before the government pegged the exchange rate. The second period will start from September 1998 until September 2003 representing the period after the government had pegged the exchange rate. The major findings are : (i) there exist a dynamic interaction between monetary policy, inflation rate and stock market in Malaysia, and (ii) there is a linkage between the variables and stock market before and after the government had pegged the exchange rate.
format	Thesis
qualification_name	masters
qualification_level	Master's degree
author	Yeap, Sin Yean
author_facet	Yeap, Sin Yean
author_sort	Yeap, Sin Yean
title	Monetary Policy, Inflation Rate, and Stock Market in Malaysia
title_short	Monetary Policy, Inflation Rate, and Stock Market in Malaysia
title_full	Monetary Policy, Inflation Rate, and Stock Market in Malaysia
title_fullStr	Monetary Policy, Inflation Rate, and Stock Market in Malaysia
title_full_unstemmed	Monetary Policy, Inflation Rate, and Stock Market in Malaysia
title_sort	monetary policy, inflation rate, and stock market in malaysia
granting_institution	Universiti Utara Malaysia
granting_department	Faculty of Economics
publishDate	2004
url	https://etd.uum.edu.my/1469/1/YEAP_SIN_YEAN.pdf https://etd.uum.edu.my/1469/2/1.YEAP_SIN_YEAN.pdf
_version_	1747827152848420864

Monetary Policy, Inflation Rate, and Stock Market in Malaysia

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