Determinants of stock prices movement in malaysia / Nurul Huda Zahari ... [et al.]

Changes in macroeconomics variables are very important to stock prices movement in major stock markets. The same situation is also happening in Bursa Malaysia. Based on 1980-2010 data, this paper aims to explore the interactions between Gross Domestic Product (GDP), Interest Rate (IR), Exchange Rate (ER) and Inflation Rate (INF) with Malaysian stock prices movement. At the same time, this paper also aims to trace out the most dominant factor among these selected variables. The study has been done using multivariate times series analysis available in STATA software. The results illustrated that stock price has a positive relationship with GDP, IR and INF, while it shows a negative relationship towards ER. The most dominant role is played by ER in influencing the stock prices movement in Bursa Malaysia. For future studies, it is suggested to include the government policies such as government transformation programme and economic transformation programme in giving more holistic perception on the determinants of stock prices movement in Malaysia.