The effect of macroeconomic determinants on Malaysian stock market performance / Fatihatunnurrahim Abd Rahim

This paper aims is finding out the effect of macroeconomic determinant on stock
market performance in Malaysia. The study is focuses on stock index which is FTSE
Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI). The macroeconomic
variables considered are palm oil price, interbank rates (3 month), exchange rates
inflation rates and gold prices. The sample of this study comprises of 191
observations each of the independent and dependent variables on a monthly basis over
16 years period from January 1998 to December 2013. Methodology used for this
study is by using Multiple Linear Regression with time series data sourced from
DataStream and Index Mundi. Thereafter, econometric tests are to be conducted to
observe the relationship of the macroeconomic variables to the FBMKLCI. Interactive
software package E-view 7 would be used for testing and analyzing the data collected.
The study is an attempt to investigate the relationship of the chosen macroeconomic
variables towards influencing stock index which is FBMKLCI. Findings from
previous research papers mostly on developed markets indicate that macroeconomic
variables do play a significant role in the determination of stock returns. The results of
this research paper would provide an indicative view and could form an important
basis for investors and policy makers in their investment strategies and policy
decisions respectively.