The Influence of the Financial, External and Real Output Indicators on Malaysian Stock Market

This research investigated the linkages between the movements of the financial, external and real output indicators with the FTSE/BM in the long-run and short-run to determine the viability of using available information as indicators to predict Malaysian stock prices. The co integration and causali...

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Main Author:	Asaad, Zeravan Abdulmuhsen
Format:	Thesis
Language:	eng
Published:	2012
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/3788/1/s92354.pdf
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id	my-uum-etd.3788
record_format	uketd_dc
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng
advisor	Ibrahim, Yusnidah Abd. Karim, Mohd Zaini
topic	HG Finance
spellingShingle	HG Finance Asaad, Zeravan Abdulmuhsen The Influence of the Financial, External and Real Output Indicators on Malaysian Stock Market
description	This research investigated the linkages between the movements of the financial, external and real output indicators with the FTSE/BM in the long-run and short-run to determine the viability of using available information as indicators to predict Malaysian stock prices. The co integration and causality approach was used to determine the influence of macroeconomic variables changes on the FTSE/BM Top 100 Index, and monthly data was used for the analysis from the period September 1998 to October 2011. A Johansen co integration test indicated a positive long-run relationship between the FTSE/BM Top 100 Index and oil prices, industrial production, and consumer price index, and a negative long-run relationship with money supply, interest rate, and exchange rate. The error correction model estimated that the speed of adjustment was only 21.6%, which indicates that the Malaysian stock market converges on equilibrium within five months. Granger causality tests showed no causal relationship between the Malaysian stock market and the interest rate, but showed bidirectional movement with consumer price index and unidirectional movement from money supply and oil price with respect to the Malaysian stock market; in addition, unidirectional movement was found from the Malaysian stock market to the exchange rate and industrial production. The conclusion was that the Bursa Malaysia is an inefficient stock market with respect to macroeconomic variable such as money supply, oil price, and consumer price index because Malaysian stock market prices could be predicted using available information for these variables in the short run for the study’s selected time period.
format	Thesis
qualification_name	Ph.D.
qualification_level	Doctorate
author	Asaad, Zeravan Abdulmuhsen
author_facet	Asaad, Zeravan Abdulmuhsen
author_sort	Asaad, Zeravan Abdulmuhsen
title	The Influence of the Financial, External and Real Output Indicators on Malaysian Stock Market
title_short	The Influence of the Financial, External and Real Output Indicators on Malaysian Stock Market
title_full	The Influence of the Financial, External and Real Output Indicators on Malaysian Stock Market
title_fullStr	The Influence of the Financial, External and Real Output Indicators on Malaysian Stock Market
title_full_unstemmed	The Influence of the Financial, External and Real Output Indicators on Malaysian Stock Market
title_sort	influence of the financial, external and real output indicators on malaysian stock market
granting_institution	Universiti Utara Malaysia
granting_department	Othman Yeop Abdullah Graduate School of Business
publishDate	2012
url	https://etd.uum.edu.my/3788/1/s92354.pdf
_version_	1747827646386929664
spelling	my-uum-etd.37882022-04-10T06:30:29Z The Influence of the Financial, External and Real Output Indicators on Malaysian Stock Market 2012-08 Asaad, Zeravan Abdulmuhsen Ibrahim, Yusnidah Abd. Karim, Mohd Zaini Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance This research investigated the linkages between the movements of the financial, external and real output indicators with the FTSE/BM in the long-run and short-run to determine the viability of using available information as indicators to predict Malaysian stock prices. The co integration and causality approach was used to determine the influence of macroeconomic variables changes on the FTSE/BM Top 100 Index, and monthly data was used for the analysis from the period September 1998 to October 2011. A Johansen co integration test indicated a positive long-run relationship between the FTSE/BM Top 100 Index and oil prices, industrial production, and consumer price index, and a negative long-run relationship with money supply, interest rate, and exchange rate. The error correction model estimated that the speed of adjustment was only 21.6%, which indicates that the Malaysian stock market converges on equilibrium within five months. Granger causality tests showed no causal relationship between the Malaysian stock market and the interest rate, but showed bidirectional movement with consumer price index and unidirectional movement from money supply and oil price with respect to the Malaysian stock market; in addition, unidirectional movement was found from the Malaysian stock market to the exchange rate and industrial production. The conclusion was that the Bursa Malaysia is an inefficient stock market with respect to macroeconomic variable such as money supply, oil price, and consumer price index because Malaysian stock market prices could be predicted using available information for these variables in the short run for the study’s selected time period. 2012-08 Thesis https://etd.uum.edu.my/3788/ https://etd.uum.edu.my/3788/1/s92354.pdf text eng public Ph.D. doctoral Universiti Utara Malaysia Abd. Majid, M. S., Meera, A. K., Azis, H. A., & Ibrahim. M. H. (2001). The relationship between stock returns and inflation: Evidence from Malaysia and Indonesia. Capital Market Review, 9(1&2), 129-154. Abdullah D. A., & Hayworth, S. C. (1983). Macroeconometrics of stock price fluctuations. Quarterly Journal of Business and Economics, 32(1), 49-63. Abeysekera, S. (2001). Efficient market hypothesis and the emerging capital market in Sri Lanka: Evidence from the Colombo stock exchange. 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