A study on the dynamic relations between macro economic variables and stock market performance / Huzaimi Hussain, Jaafar Pyeman and Mohd. Mokhtar Ghani

Hussain, Huzaimi and Pyeman, Jaafar and Ghani, Mohd. Mokhtar (2005) A study on the dynamic relations between macro economic variables and stock market performance / Huzaimi Hussain, Jaafar Pyeman and Mohd. Mokhtar Ghani. [Research Reports] (Unpublished)

Abstract

The purpose of this study is to investigate the dynamic relationship between stock market performance and macroeconomic variables in Malaysia. The Kuala Lumpur Composite Index (KLCI) is used to proxy for the stock market performance and macroeconomic variables employed are three-month treasury bills rate, inflation rate, and economic growth as measured by gross domestic product. This study utilizes cointegration and causal relationship approach to accomplish the research objectives. The findings from this study exhibit that there are long run cointegration relationship between stock market performance and macroeconomic indicators. Moreover, results of further analysis generally show that all the indicators have substantial impacts on KLCI with the most immediate impact coming from treasury bills rate. In addition it is shown via the variance decomposition procedure that treasury bills rate is highly exogenous. The major policy implication of this study is that market performance can be monitored by Central Bank through treasury bills rate.

Metadata

Item Type: Research Reports
Creators:
CreatorsID Num. / Email
Hussain, HuzaimiUNSPECIFIED
Pyeman, JaafarUNSPECIFIED
Ghani, Mohd. MokhtarUNSPECIFIED
Contributors:
ContributionNameID Num. / Email
UNSPECIFIEDHussain, HuzaimiUNSPECIFIED
UNSPECIFIEDPyeman, JaafarUNSPECIFIED
UNSPECIFIEDGhani, Mohd. MokhtarUNSPECIFIED
Subjects: H Social Sciences > HD Industries. Land use. Labor > Management. Industrial Management
H Social Sciences > HF Commerce > Marketing
H Social Sciences > HF Commerce > Marketing > Market segmentation. Target marketing
H Social Sciences > HF Commerce > Markets. Fairs
Divisions: Universiti Teknologi MARA, Sarawak > Research Management Institute (RMI)
Item ID: 28744
Uncontrolled Keywords: macroeconomic, market performance, stock market
URI: http://ir.uitm.edu.my/id/eprint/28744

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