The impact of macroeconomic variables on the stock market return: evidence from Asia-Pacific / Nur Najah Nabilah Mohd Nasrudin

This study examined the relationship between macroeconomic variables; namely gross domestic product (GDP), index of industrial production (IIP), money supply (Ml), interest rate (INT) and consumer price index (CPI) with stock market returns. The selected stock markets are of countries within the Asia-Pacific financial hub. Out of all forty-five (45) countries within the Asia-Pacific region, researcher is able to collect sufficient data for eleven (1 1) countries which are Australia, India, Indonesia, Japan, Malaysia, Philippines, Russia, Singapore, Thailand and United States. These countries represented the whole population of Asia-Pacific stock markets in determining how macroeconomic variables will affect the market return. The data is collected for six (6) years and it is presented in a panel data. Researcher discovered that there is a significantly positive relationship between GDP and market return (MR) meanwhile the other two significant variables; Ml and CPI have an adverse impact on MR. The remaining two variables; IIP and INT were found to be insignificant in predicting the dependent variable in this study. Hopefully, the findings ascertained in this study could help personal or corporate investors in assessing and predicting the return of the investments with the macroeconomic determinants used. For further research, it is suggests that the researcher could examine other macroeconomic determinants of market return of the Asia-Pacific region or other stock markets such as the exchange rate, oil price and gold price. These new variables may help in obtaining more accurate and precise findings.