The impact of macroeconomic variables on stock market price in Malaysia / Nor Faezah Awang

• Main Author: Awang, Nor Faezah
• Format: Student Project
• Language: English
• Published: 2016
• Subjects: HB Economic Theory. Demography; Macroeconomics; HG Finance; Interest rates; Money supply; Investment, capital formation, speculation; Stock price indexes. Stock quotations
• Online Access: https://ir.uitm.edu.my/id/eprint/75381/1/75381.pdf; https://ir.uitm.edu.my/id/eprint/75381/
• Institution: Universiti Teknologi Mara

The key objective of the study is to investigate the relationship between stock market price and macroeconomic variables in Malaysia using annually data over the period from 2002 until 2014 for four macroeconomic variables such as interest rate, inflation rate, exchange rate and industry production. The methodology used in this study such as Descriptive statistics, Pearson Correlation, Pools Ordinary Least Square Model (POLS), Random Effect Model (REM), Breush and Pagan Lagrangian Multiplier (LM) Test, Fixed Effect Model (FEM) and Hausman Fixed Test from a panel data model. In the finding, Random Effect Model (REM) has been chosen to describe the real result from the data. The results showed only the interest rate insignificant towards stock price, while the inflation rate, exchange rate and industry production significant with stock price in Malaysia.