The relationship between exchange rate and stock price in Bursa Malaysia / Livina Sari Gerunong

The purpose of this study to examined the relationship of exchange rate RM/U.S Dollar and stock prices in Bursa Malaysia. This study using daily data as a sample whereby sample period for this study has been taken from January 2008 to December 2014. Data are analyzed using time series approach via Eviews software. This study was focused on the companies based on Industry and Finance sector. Findings of this study exhibit that there is significant relationship between RM/U.S Dollar and stock prices of Finance sector. This finding support the result study made by Kasman (2003) and Yusuf & Rahman (2012) where they proved the existence of exchange rate and stock prices relationship in Finance sector. As for Industry sector, this study come out with a contradict result to Kasman (2003) and Yusuf & Rahman (2012). There is no significant relationship between RM/U.S Dollar and stock prices were found.

Keywords: Stock price, Exchange rate