The relationship between macroeconomic and stock market return in Malaysia / Farah Nabila Jaafar Sidek

This study investigates the relationship of selected macroeconomic variables on stock market return. However, most studies focused on developed countries, and only some studies focused on developing countries like Malaysia. Thus, this paper aims to identify which macroeconomic factors are significant to the stock market return. The dependent variable for this paper is KLCI stock market return, and the independent variables are the four selected macroeconomic factors, namely interest rate, exchange rate, money supply, and oil price. The sample data is collected in monthly basis, which comprises of 10-year period starting from January 2007 until December 2016. The total observation for this study is 120 observations. In order to generate the result, Econometric software or E Views 9.5 was used. The data are analyzed by using the Ordinary Least Square (OLS) method. The result from the analysis shows that exchange rate and oil price are significant to the stock market return. Exchange rate is found to have a negative relationship with the stock market return. In contrast, oil price seems to have a positive relationship with stock market return. However, interest rate and money supply do not have a significant on stock market return.