Macroeconomic factors and arbitrage pricing theory in Malaysian stock return / Rafidah Abdul Rahim

The study of this paper was to see the significant relationship of Malaysian Properties stock return in the existing of macroeconomic variables using Arbitrage Pricing Theory (APT). Thus, the purposed of this study is to test the impact of macroeconomic factors to the stock return via APT in Malaysia. The macroeconomic factors that were chosen in measuring the stock return were exchange rate, inflation interest rate, money supply and term structure. The data collected was a secondary data, retrieved from DataStream of Kuala Lumpur Stock Exchange (KLSE) Properties, Price Index from February 2007 to November 2016. In this paper the ordinary least square (OLS) method are used as a technique method in measuring their relationship. APT model result show there is negative significant relation between exchange rate to stock return. The inflation, interest rate and term structure shows are negative insignificant relationship to the stock return while money supply show a positive insignificant relationship to the stock return.