Determinant of macroeconomic variable affecting stock market return: comparison between Malaysia and Singapore / Alieff Azziq Azizan

This paper attempts to make comparisons between Malaysia and Singapore as to determine the relationship between of the both country stock return and selected macroeconomic variables such as interest rate (IR), exchange rate (ER), money supply (M2) and inflation (I) from 2012 until 2016. These variables contain monthly data of 490 samples of observation. The aim of this paper to determine which macroeconomic variables are most the most significant in influencing the stock market comparison between 2 countries that are Malaysia and Singapore. Multiple Regressions was used to examine the existence of relationship between stock return and macroeconomic variables. The data was analysed using EViews software version 10. It is expected that interest rate and exchange rate has negative relationship while money supply and inflation has positive relationship towards stock return. The test that use to analyse the data is descriptive, multiple regression, Variance Inflation Factor, Ramsey Reset test, Correlation of Coefficient, Normality test and Autocorrelation. The findings obtain that there is relationship of interest rate, exchange rate, money supply and inflation towards stock price return. The findings also obtain that both countries have same significant value which are exchange rate and money supply.