Impact of macroeconomics variables on stock market return in Malaysia / Nurizzah Abdullah

Stock market is one of the indicators of a country's economic growth. The movements of stock market return are based on several variables. Different countries will have different variables that affect the movement of stock market return. The stock market return in Malaysia shows fluctuation from the month of January 2007 to March 2014 and this volatility attract the researcher's attention to examine the variables that affect the movements of stock market performance in Malaysia. The aim of this study is to find the impacts of macroeconomics variables on stock market return. The samples for this study are monthly data taken from the period of January 2007 until March 2014. In order to examine the relationship between the selected macroeconomic variables with stock return, multiple regressions analysis is performed using e-views software. The dependent variable for this study is Malaysia stock market return (KLCI) while independent variables are as follows; Inflation (CPI), Gold Price, Money Supply, Interest Rate and Exchange Rate. The results indicate that there is a co-integration between the macroeconomic variables and KLCI. The result of this study is hoped to help investors make good investment decisions.