Factor affecting stock market return in Malaysia and China / Atikah Ahamad

This paper is to examine the factor affecting stock market return in Malaysia and China. The reason I choose Malaysia and China because, Malaysia is my country and I want to explore more about our country stock performance. Whereas, China recently became the second largest economy in the world. The successful business economy of China has become role model to all country around the world. The factor affecting stock market return is due to several macroeconomic variables such as interest rate (IR), exchange rate (ER) and crude oil price (COP). In a recent year, the stock market performance are well documented. Hence, most of the studies are focus on the macroeconomic factors in the developed country context. This research aim, to determine the factor affecting stock market return on Malaysia and China, while representative stock index of Kuala Lumpur Stock Index (KLCI) and Shanghai Stock Exchange Composite Index (SSE). Using several test which is descriptive analysis, stationary test by Augmented Dickey fuller (ADF) Test, correlation test, regression analysis and test on the assumption for all the data on yearly basis from 1999 to 2019. The result conclude that, IR and COP have a negative relationship with the stock market return. Whereas, only ER have a positive relationship with stock market return. Finally, based on the findings analysed, the conclusion of the research study was developed as
well as the recommendation for future researcher.