This paper to study the selected macroeconomic variables effect on Malaysia stock market. From the 60 monthly data observations, the effect of unrestricted variables on results in the stock market has been applied by several empirical tests in this paper. From the empirical test, gross domestic product and consumer price index have negative bond results in Malaysia, while money supply, actual effective exchange rate, and industrial index of production have the positive relationship with the stock market performance in Malaysia. The unit-root test results showed that all variables except for the price index of the market are not fixed at a stage, while all variables except money supply are stationary at first. Lastly, the Granger Causality Test and Johansen Co-integration Test have been carried out in discovering short-run and long-run relationship between the variables.
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