A study on the dynamic relations between macroeconomic variables and stock market performance / Huzaimi Hussain... [et al.]

Hussain, Huzaimi and Pyeman, Jaafar and Ghani, Mohd Mokhtar (2005) A study on the dynamic relations between macroeconomic variables and stock market performance / Huzaimi Hussain... [et al.]. [Research Reports] (Unpublished)

Abstract

The purpose of this study is to investigate the dynamic relationship between stock market performance and macroeconomic variables in Malaysia. The Kuala Lumpur Composite Index (KLCI) is used to proxy for the stock market performance and macroeconomic variables employed are three-month treasury bills rate, inflation rate, and economic growth as measured by gross domestic product. This study utilizes cointegration and causal
relationship approach to accomplish the research objectives. The findings from this study exhibit that there are long run cointegration relationship between stock market performance and macroeconomic indicators. Moreover, results of further analysis generally show that all the indicators have substantial impacts on KLCI with the most immediate impact coming from treasury bills rate. In addition it is shown via the variance decomposition procedure that treasury bills rate is highly exogenous. The major policy implication of this study is that market performance can be monitored by Central Bank
through treasury bills rate.

Metadata

Item Type:	Research Reports
Creators:	Creators Email / ID Num. Hussain, Huzaimi UNSPECIFIED Pyeman, Jaafar UNSPECIFIED Ghani, Mohd Mokhtar UNSPECIFIED
Subjects:	H Social Sciences > HB Economic Theory. Demography > Macroeconomics H Social Sciences > HF Commerce > Marketing H Social Sciences > HF Commerce > Marketing > Marketing research. Marketing research companies. Sales forecasting H Social Sciences > HF Commerce > Markets. Fairs H Social Sciences > HF Commerce > Personnel management. Employment management > Performance standards
Divisions:	Universiti Teknologi MARA, Shah Alam > Research Management Centre (RMC) > Institute of Research, Development and Commercialization (IRDC)
Keywords:	Market performance, Stock market, macroeconomic
Date:	March 2005
URI:	https://ir.uitm.edu.my/id/eprint/25267