The macroeconomic variables influencing plantation stock price

Kueh, Song Jenq (2011) The macroeconomic variables influencing plantation stock price. Masters thesis, Universiti Malaysia Sabah.

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Abstract

The overall objective of this study is to determine whether the macroeconomic variables create the variation in stock returns is the same for industry and firm. The secondary data used in this study consists of monthly time series data from January 2000 to December 2010. Time series method such as Unit Root Test, Johansen Cointergration Test and Vector Error Correction Model (VEC) were conducted to proof the relationship between the variables. Through the VECM test the independent variables were unable to explain the changes either in the firm index or the industries index in the short run. However, there was long run relationship between the industry's stock price with interest rate, exchange rate and industry production index through Johansen cointegration test. Besides, there was long run relationship between firm's stock price and interest rate, exchange rate, inflation rate and industry production index.

Item Type: Thesis (Masters)
Uncontrolled Keywords: macroeconomic variable, stock, industry and firm, interest rate, industry production index, plantation
Subjects: H Social Sciences > HB Economic Theory
Divisions: SCHOOL > School of Business and Economics
Depositing User: MDM SITI AZIZAH IDRIS
Date Deposited: 02 Oct 2013 06:47
Last Modified: 12 Oct 2017 02:43
URI: http://eprints.ums.edu.my/id/eprint/7148

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