The dynamic stock returns volatility and macroeconomic factors in Malaysia: A sectoral study

Saizal Pinjaman and Sarma Aralas (2015) The dynamic stock returns volatility and macroeconomic factors in Malaysia: A sectoral study. South East Asian Journal of Contemporary Business, Economics and Law (SEAJBEL), 8. pp. 33-40. ISSN 2289-1560

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Abstract

This paper analyzes the impact of selected macroeconomic factors, namely Gross Domestic Product, exchange rate, interest rate, inflation rate, money supply, economic crisis and economic liberalization towards stock returns volatility of four economic sectors in Malaysia. In this paper, the dynamic stock returns volatility estimation shows that stock returns volatility is persistent in nature where previous shock will influence the current stock performance. This research also documents the existence of leverage effects in the stock market, where negative news brings larger magnitude of shocks compared to positive news. Based on cross-sectional time series model, the investigation shows significant relationships of all macroeconomic factors towards stock returns volatility across all economic sectors. This paper is important for policy makers, firms and academicians.

Item Type: Article
Keyword: Dynamic stock returns volatility , Individual firms , Macroeconomic factors , Sectoral study
Subjects: H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation
Department: FACULTY > Faculty of Business, Economics and Accounting
Depositing User: SAFRUDIN BIN DARUN -
Date Deposited: 19 Aug 2022 08:30
Last Modified: 19 Aug 2022 08:30
URI: https://eprints.ums.edu.my/id/eprint/33861

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