The determinants of stock market return: construction industry in RMK10 / Dayang Shazreen Neza Datu Uddin

The priority of this study is to determine the relationship between the earning per share, stock price movement and trading activities towards the stock market return on the event of budget announcement by the Prime Minister and also to analyze the effect of it after the budget announcement was revised in RMK10. Using the 42 companies as a sample in construction industry which listed in KLSE and KLCI from 2011 to 2014 and the rest data was updated until May 2015. The panel data is applied in this paper investigation towards determining the objectivity. As the conclusion, the result can be determine when the earnings per share (EPS), stock price movement and trading activities are in significant negative relationship and leads to the nothing changes affected the dependent variable for the yearly basis. In year 2015, the result has been changes to positive impact after the budget revised towards the stock market return of the variable of stock price while the others did not.