The Impact of Macroeconomic Forces on Stock Returns in Malaysia

The Impact of Macroeconomic Forces on Stock Returns in Malaysia

The objective of this paper is to investigate the relationship between macroeconomic factors namely, inflation, interest rates, money supply and exchange rates towards FTSE Bursa Malaysia stock markets price index for the period of 2000-2009 as monthly. The study develops four prespecified macroecon...

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Main Author: Siti Noorahayusolah, Kosnandi
Format: Thesis
Language:eng
Published: 2011
Subjects:
HB Economic Theory
Online Access:https://etd.uum.edu.my/2726/1/Siti_Noorahayusolah.pdf
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spelling my-uum-etd.27262016-04-24T01:14:19Z The Impact of Macroeconomic Forces on Stock Returns in Malaysia 2011-02-17 Siti Noorahayusolah, Kosnandi Regupathi@Chockalingam, Angappan College of Business (COB) College of Business HB Economic Theory The objective of this paper is to investigate the relationship between macroeconomic factors namely, inflation, interest rates, money supply and exchange rates towards FTSE Bursa Malaysia stock markets price index for the period of 2000-2009 as monthly. The study develops four prespecified macroeconomic variables consist of inflation, interest rate, money supply and exchange rate. Using Unit Root Test to compute the presence of stationarity, followed by Johanssen and Juselius Cointegration Test to examine the long run relationship and Pairwise Granger Causality Test to investigate the causal relationship between each factors. The macroeconomics factors do have relationships in long run and each macroeconomics variable causal to stock markets. 2011-02 Thesis https://etd.uum.edu.my/2726/ https://etd.uum.edu.my/2726/1/Siti_Noorahayusolah.pdf application/pdf eng validuser masters masters Universiti Utara Malaysia
institution Universiti Utara Malaysia
collection UUM ETD
language eng
advisor Regupathi@Chockalingam, Angappan
topic HB Economic Theory
spellingShingle HB Economic Theory
Siti Noorahayusolah, Kosnandi
The Impact of Macroeconomic Forces on Stock Returns in Malaysia
description The objective of this paper is to investigate the relationship between macroeconomic factors namely, inflation, interest rates, money supply and exchange rates towards FTSE Bursa Malaysia stock markets price index for the period of 2000-2009 as monthly. The study develops four prespecified macroeconomic variables consist of inflation, interest rate, money supply and exchange rate. Using Unit Root Test to compute the presence of stationarity, followed by Johanssen and Juselius Cointegration Test to examine the long run relationship and Pairwise Granger Causality Test to investigate the causal relationship between each factors. The macroeconomics factors do have relationships in long run and each macroeconomics variable causal to stock markets.
format Thesis
qualification_name masters
qualification_level Master's degree
author Siti Noorahayusolah, Kosnandi
author_facet Siti Noorahayusolah, Kosnandi
author_sort Siti Noorahayusolah, Kosnandi
title The Impact of Macroeconomic Forces on Stock Returns in Malaysia
title_short The Impact of Macroeconomic Forces on Stock Returns in Malaysia
title_full The Impact of Macroeconomic Forces on Stock Returns in Malaysia
title_fullStr The Impact of Macroeconomic Forces on Stock Returns in Malaysia
title_full_unstemmed The Impact of Macroeconomic Forces on Stock Returns in Malaysia
title_sort impact of macroeconomic forces on stock returns in malaysia
granting_institution Universiti Utara Malaysia
granting_department College of Business (COB)
publishDate 2011
url https://etd.uum.edu.my/2726/1/Siti_Noorahayusolah.pdf
_version_ 1747827414438772736

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