The determinants of stock market performance: evidence from Malaysia during COVID-19 / Mohamad Irfan Akmal Harun

The stock market’s performance is critical in determining the direction of the current economy. Researchers have extensively documented the factors that influence the stock market for years. However, few studies focused on macroeconomic factors in Malaysia, especially during COVID-19. The study used weekly macroeconomic data during COVID-19 to assess the stock market determinants. Furthermore, the research confirms whether the determinants impacted the stock market during COVID-19. This paper used weekly data from the Malaysia Stock Exchange Composite Index, interest rates, inflation rates, and COVID-19 death cases from January 1, 2020, to December 31, 2022. The study looks at autoregressive distribution lag models (ARDL) and diagnostic tests to avoid econometric problems. The study found that COVID-19 cases had an insignificant and positive relationship towards stock market performance in the short run; however, there was a significant negative relationship in the long run. In light of this, the study contributes to broadening the current literature reviews by incorporating interest rates, inflation rates, and some control variables, COVID-19 cases, into the determination of the relationship between the Malaysia stock index during a pandemic.