Analysis of stock market and macroeconomic indicators in Malaysia / Aisyah Nabilah Basir

The stock markets of a country are reflected by the state of its economy. Therefore, the economic indicators can be used to predict the stock and stock future markets as it help to understand where the economy is heading. Even though there were many researches done, however most of the previous researches only focus on the effect of macroeconomic variables towards stock price instead of stock market. For instance, Rjoub, Türsoy, & Günsel, (2009) had focused on Istanbul Stock Exchange and Singhania & Anchalia, (2013) focused on Hong Kong, Japan, India and China Stock Exchange. Theoretically, most of the macroeconomic variables have a significant relationship with stocks market, however the empirical result from the past researchers are mixed. Due to that matter, this study would shed light on empirical results of macroeconomic indicators that affected the stock market (FBMKLCI) in Malaysia. This study aims to investigate the potential factors that affecting the stock market index and to evaluate the relationship between macroeconomic indicators which are interest rate, risk premium, international effect (S&P 500), and industrial production with the stock market in Malaysia. Time series analysis is use and data collected from 2010 until 2015 in monthly basis. The data will be analyzed by using E-views software. The method use is regression model. The findings is that there is relationship between the macroeconomic indicators tested with the FBM KLCI, but only S&P 500 that have a significant coefficient.