The Unrestricted Macroeconomic Variables Effect on Stock Market Malaysia

Nam, Tun Wai; Geetha, Caroline

doi:10.51200/mjbe.vi.2894

Cited by 1 publication

(1 citation statement)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Phan et al (2019) investigated the association between the stock market and eight macroeconomic variables in the Indonesian context. Similarly, a recent study conducted by Nam and Geetha (2020) reveals that GDP and Consumer price index have a significantly negative association in the case of Malaysia, while money supply, exchange rate and industrial index of production have a positive relationship with the stock market performance.…”

Section: Asymmetric Dynamics and Stock Market Indicesmentioning

confidence: 77%

Re-examining asymmetric dynamics in the relationship between macroeconomic variables and stock market indices: empirical evidence from Malaysia

Mohnot,

Banerjee,

Ballaj

et al. 2023

JRF

View full text Add to dashboard Cite

PurposeThe aim of this research is to re-examine the dynamic linkages between macroeconomic variables and the stock market indices in Malaysia following some transformational changes in the policies and the exchange rate regime.Design/methodology/approachUsing monthly data points for all the economic variables and the stock market index (KLCI Index), the authors applied vector autoregression (VAR) model to examine the relationship. The authors also used impulse response function (IRF) in order to explore the effect of one-unit shock in “X” on “Y” under the VAR environment.FindingsThe authors' study finds a significant relationship between all the macroeconomic variables and the stock market index of Malaysia. The cointegration results indicate a long-term relationship, whereas the vector autoregressive-based impulse response analysis suggests that the Malaysian stock index (KLCI) responds negatively to the money supply, inflation and producer price index (PPI). However, the authors' results indicate a positive response from the stock index to the exchange rate.Research limitations/implicationsThe authors' study's results are based on selected macroeconomic variables and the VAR model. Researchers may find other variables and methods more useful and may provide findings accordingly.Practical implicationsSince the results are quite asymmetric, it would be interesting for the market players, policymakers and regulators to consider the findings and explore appropriate opportunities.Originality/valueWhile the relationship between macroeconomic variables and stock market indices has been widely examined, a significant gap in the literature remains concerning the role of exchange rate variable on the stock market in an emerging economy context.

show abstract

Section: Asymmetric Dynamics and Stock Market Indicesmentioning

confidence: 77%