Macroeconomic determinants of stock market performance: Evidences from a Malaysia and United States / Aqeel Mohtar and Shazlin Iryanti Saruddin

This study is focusing on the effect of macroeconomic determinants towards stock market
performance in Malaysia and United States. The purpose of this study is to study the relationship
between dependent variable and independent variables and identify the most significant factor
that affecting the stock market performance in Malaysia and United States. The data are
collected quarterly data from period of 1997:Q1 to 2015:Q4. The data are tested using Unit Root
Test, Panel Data Regression and Diagnostic tests to find the relationship between
macroeconomic determinants variables such as money supply, interest rates, exchange rates,
gross domestic product and industrial production index towards Malaysia and United States
stock market performance. The results obtained from Pool OLS estimation reveal that money
supply, interest rate, gross domestic product and industrial production index have positive
relationship on the stock market performance while exchange rate has negative relationship on
the stock market performance. This shows that the United States and Malaysian stock market are
sensitive to changes in the macroeconomic variables. Furthermore, based on the result, money
supply is the most significant factor that affecting the stock market performance.