The Relationship Between Volatility of Malaysia Stock Price and the Volatility of Macroeconomic Variables for Five Asian Countries

The rapid liberalization and globalization of the financial market around the world has been recognized causes to the higher volatility between macroeconomic variables and stock market. Stock market is one of the macro economy variables and as a leading indicator for economy plays an important role...

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Main Author: Mai Syaheera, Miau Shaari
Format: Thesis
Language:eng
eng
Published: 2011
Subjects:
Online Access:https://etd.uum.edu.my/2732/1/Mai_Syaheera_Miau_Shaari.pdf
https://etd.uum.edu.my/2732/2/1.Mai_Syaheera_Miau_Shaari.pdf
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spelling my-uum-etd.27322016-04-19T01:39:56Z The Relationship Between Volatility of Malaysia Stock Price and the Volatility of Macroeconomic Variables for Five Asian Countries 2011-02 Mai Syaheera, Miau Shaari Ibrahim, Yusnidah College of Business (COB) College of Business HG Finance The rapid liberalization and globalization of the financial market around the world has been recognized causes to the higher volatility between macroeconomic variables and stock market. Stock market is one of the macro economy variables and as a leading indicator for economy plays an important role in the development of any country. Despite the importance of the establishing of the relationship between macroeconomic variables and stock prices, there is still no general rule or consensus for both theoretical and empirical literature either in emerging, developed, Asian and Europe economies. This thesis attempts to analyze the relationship between volatility of Malaysian stock price and the volatility of macroeconomic variables namely exchange rates, money supply and interest rates for Singapore, Philippine, Thailand, Japan and China from January 2000 until December 2010. All previous studies examined the relationship between macroeconomic variables and stock market in a particular country. It is also interesting and beneficial to study the relationship of Malaysian stock market with other countries macroeconomic factors such as exchange rates, money supply and interest rates. Several tests are used in this study namely Unit Root Tests, Multivariate Cointegration Test, Error Correction Model and Estimation Equation Analysis. Augmented Dickey-Fuller (ADF) test and Phillips-Perron (1988) test are used to ensure all variables are stationary. The other techniques are used to identify short-run and long-run relationship between volatility of Malaysian stock price and macroeconomic variables of five Asian countries and also to determine which country macroeconomic variables give the most impact on Malaysian stock price. The study finds that there exist short run cointegrating link or relationship between macroeconomic variables and Malaysian stock price. The empirical findings reveal that relationship between macroeconomic variables and Malaysian stock price do form a long run cointegrating link or relationship. From the result shows that exchange rate from China gives the most impact on Malaysian stock price. Policy-makers need to be careful when trying to influence the economy through changes in macroeconomic variables such as the money supply, interest rates or the exchange rate. They may inadvertently depress the stock market and curtail capital formation which itself would lead to further slowdown of the economy. 2011-02 Thesis https://etd.uum.edu.my/2732/ https://etd.uum.edu.my/2732/1/Mai_Syaheera_Miau_Shaari.pdf application/pdf eng validuser https://etd.uum.edu.my/2732/2/1.Mai_Syaheera_Miau_Shaari.pdf application/pdf eng public masters masters Universiti Utara Malaysia
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Ibrahim, Yusnidah
topic HG Finance
spellingShingle HG Finance
Mai Syaheera, Miau Shaari
The Relationship Between Volatility of Malaysia Stock Price and the Volatility of Macroeconomic Variables for Five Asian Countries
description The rapid liberalization and globalization of the financial market around the world has been recognized causes to the higher volatility between macroeconomic variables and stock market. Stock market is one of the macro economy variables and as a leading indicator for economy plays an important role in the development of any country. Despite the importance of the establishing of the relationship between macroeconomic variables and stock prices, there is still no general rule or consensus for both theoretical and empirical literature either in emerging, developed, Asian and Europe economies. This thesis attempts to analyze the relationship between volatility of Malaysian stock price and the volatility of macroeconomic variables namely exchange rates, money supply and interest rates for Singapore, Philippine, Thailand, Japan and China from January 2000 until December 2010. All previous studies examined the relationship between macroeconomic variables and stock market in a particular country. It is also interesting and beneficial to study the relationship of Malaysian stock market with other countries macroeconomic factors such as exchange rates, money supply and interest rates. Several tests are used in this study namely Unit Root Tests, Multivariate Cointegration Test, Error Correction Model and Estimation Equation Analysis. Augmented Dickey-Fuller (ADF) test and Phillips-Perron (1988) test are used to ensure all variables are stationary. The other techniques are used to identify short-run and long-run relationship between volatility of Malaysian stock price and macroeconomic variables of five Asian countries and also to determine which country macroeconomic variables give the most impact on Malaysian stock price. The study finds that there exist short run cointegrating link or relationship between macroeconomic variables and Malaysian stock price. The empirical findings reveal that relationship between macroeconomic variables and Malaysian stock price do form a long run cointegrating link or relationship. From the result shows that exchange rate from China gives the most impact on Malaysian stock price. Policy-makers need to be careful when trying to influence the economy through changes in macroeconomic variables such as the money supply, interest rates or the exchange rate. They may inadvertently depress the stock market and curtail capital formation which itself would lead to further slowdown of the economy.
format Thesis
qualification_name masters
qualification_level Master's degree
author Mai Syaheera, Miau Shaari
author_facet Mai Syaheera, Miau Shaari
author_sort Mai Syaheera, Miau Shaari
title The Relationship Between Volatility of Malaysia Stock Price and the Volatility of Macroeconomic Variables for Five Asian Countries
title_short The Relationship Between Volatility of Malaysia Stock Price and the Volatility of Macroeconomic Variables for Five Asian Countries
title_full The Relationship Between Volatility of Malaysia Stock Price and the Volatility of Macroeconomic Variables for Five Asian Countries
title_fullStr The Relationship Between Volatility of Malaysia Stock Price and the Volatility of Macroeconomic Variables for Five Asian Countries
title_full_unstemmed The Relationship Between Volatility of Malaysia Stock Price and the Volatility of Macroeconomic Variables for Five Asian Countries
title_sort relationship between volatility of malaysia stock price and the volatility of macroeconomic variables for five asian countries
granting_institution Universiti Utara Malaysia
granting_department College of Business (COB)
publishDate 2011
url https://etd.uum.edu.my/2732/1/Mai_Syaheera_Miau_Shaari.pdf
https://etd.uum.edu.my/2732/2/1.Mai_Syaheera_Miau_Shaari.pdf
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