The relationship between stock price and futures market with its determinant factor / Mohd Hafizuddin Yahya

Due to the mix findings in relation to the causality relationship between stock price index and futures market, and also the contradiction between trading volume and macroeconomic variables. Only a few studies done by previous researchers for these variables towards futures market. Therefore, the objective of this study is to study the lead-lag relationship between stock price and futures market , to analyze the long-run relationship between trading volume, inflation rate and exchange rates towards futures market and to identify the relationship between trading volume, inflation rate and exchange rates towards futures market. A time series analysis is performed by using monthly stock prices index, futures market (FKLI), trading volume, exchange rates and inflation rates from 2008 until 2015. For the cointegration test and Granger Causality Test, this paper found stock price have long-run relationship and futures market(FKLI) affect the stock price index. Moreover, this study found that trading volume and inflation rates is not significant, but only exchange rates shows significant towards futures market (FKLI) in Malaysia.