Investigating the impact of macroeconomic variables on KLCI Malaysia’s stock market return: three decades of observation / Aqilah Syafiqah Abd Aziz ... [et al.]

Macroeconomic variables are primary indicators that represent the current state of the economy. Understanding the relationship between macroeconomic variables and the stock market return is crucial as the variables have a systematic influence on the stock market return. The incident of The Black Monday, The Wall Street Crash of 1929, the Asian Financial Crisis (AFC), and the Global Financial Crisis (GFC) are examples of how the domestic and worldwide economies are affected by the stock market. Therefore, investors will appraise these macroeconomic indicators when evaluating stocks to maximize their market returns and predict price movement. Therefore, this research evaluates the selected macroeconomic variables on Malaysia's stock market return. The selected variables of interest are gross domestic product (GDP), inflation rate (INF), interest rate (IR), and exchange rate (ER). This study analyzed 30 years of data dated from 1991-2021 on an annual basis taken from World Bank Open Data's website. The data obtained were analyzed through EViews Version 12. Accordingly, descriptive and regression analyses were conducted and discussed. This study is hopeful to provide some insight to policymakers concerning the variables and Malaysia's stock market return.