The relationship between stock market return with interest rate and inflation in Malaysia / Faiznur Azwah Abdul Hamid

Economists and investor alike have to debate whether interest rate and inflation have a relationship with stock market return or vice versa. The point of argument being if the interest rate and inflation has an impact on volatility of stock prices and eventually the stock market return. The aim of this paper to examine either Stock Market Return in Malaysia influence by Interest rate and inflation using monthly data covering the period January 2006 until December 2015.Secondary data were collected from the data stream database, Bursa Saham Malaysia and Bank Negara Malaysia. The previous researcher found that the interest rate a negative effect on stock returns and inflation rate can be a negative relationship towards stock return but it still significant. However, there some of them were says that there has no significant relationship of stock market return towards interest rate and inflation. Based on the finding of study, it show that KLCI return and interest rate have insignificant negative relationship and inflation have significant negative relationship. Otherwise, this study also established that a long-run relationship exist between dependent variable: Kuala Lumpur Composite Index and interest rate and inflation.