Linking Stock Prices and Macroeconomic Variables in Malaysia

Ng, Yong Chew and Mori Kogid and Dullah Mulok (2018) Linking Stock Prices and Macroeconomic Variables in Malaysia. Journal of BIMP-EAGA Regional Development, 4 (1). pp. 31-41. ISSN 2232-1055

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Abstract

This study investigates the relationship between stock prices and selected macroeconomic variables from January 1980 to May 2017 using monthly data comprising 449 observations. The study employs several econometric tests such as unit root test for stationarity test, cointegration test and Granger causality test to determine the long- and short-run relationships between stock prices and macroeconomic variables. The result of the Johansen cointegration test shows that all the macroeconomic variables are cointegrated with stock prices in the long-run. Moreover, the Granger causality tests show that only exchange and inflation rates significantly Granger cause stock prices in the short run. However, the money supply and interest rate had no causal relationship with stock prices.

Item Type:	Article
Keyword:	Stock prices , Macroeconomic variables , Cointegration , Granger causality
Subjects:	H Social Sciences > HB Economic theory. Demography > HB1-3840 Economic theory. Demography > HB3711-3840 Business cycles. Economic fluctuations
Department:	FACULTY > Faculty of Business, Economics and Accounting
Depositing User:	SITI AZIZAH BINTI IDRIS -
Date Deposited:	12 Jul 2022 20:34
Last Modified:	12 Jul 2022 20:34
URI:	https://eprints.ums.edu.my/id/eprint/33129

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