The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
The objective of this study is to examine the relationship between stock return and macroeconomic variables in Malaysia. Cointegration test is used to examine the existence of long run relationship between stock return and macroeconomic variables. Besides, Granger causality test is also used to s...
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | أطروحة |
| اللغة: | الإنجليزية |
| منشور في: |
2006
|
| الموضوعات: | |
| الوصول للمادة أونلاين: | http://eprints.usm.my/47470/ |
| Abstract | Abstract here |
| _version_ | 1854968530501369856 |
|---|---|
| author | Phang, Chee Kong |
| author_facet | Phang, Chee Kong |
| author_sort | Phang, Chee Kong |
| description | The objective of this study is to examine the relationship between stock return
and macroeconomic variables in Malaysia. Cointegration test is used to examine the
existence of long run relationship between stock return and macroeconomic variables.
Besides, Granger causality test is also used to study the causal relationship between
stock return and macroeconomic variables. In order to understand if there is any
changes in the relationship on pre and post capital control period, the data is divided
into pre capital control (1990 Q 1 to 1998 Q3) and post capital control ( 1998 Q4 to
2004 Q4) period. Cointegration test suggest the existence of long run relation between
stock return and all the macroeconomic variables considered in the study, for the
period before and after the implementation of capital control. The Granger causality
test suggests bidirectional causal relationship between Kuala Lumpur Composite
Index and macroeconomic before capital control, and unidirectional causality from
macroeconomic variables to Kuala Lumpur Composite Index after capital control.
The Granger causality test also suggests Second Board Index Granger causes
macroeconomic variables before and after capital control. |
| first_indexed | 2025-10-17T08:32:02Z |
| format | Thesis |
| id | usm-47470 |
| institution | Universiti Sains Malaysia |
| language | English |
| last_indexed | 2025-10-17T08:32:02Z |
| publishDate | 2006 |
| record_format | eprints |
| record_pdf | Abstract |
| spelling | usm-474702020-10-22T03:03:25Z http://eprints.usm.my/47470/ The Linkages Between Stock Return And Macroeconomic Variables In Malaysia Phang, Chee Kong HF5001-6182 Business The objective of this study is to examine the relationship between stock return and macroeconomic variables in Malaysia. Cointegration test is used to examine the existence of long run relationship between stock return and macroeconomic variables. Besides, Granger causality test is also used to study the causal relationship between stock return and macroeconomic variables. In order to understand if there is any changes in the relationship on pre and post capital control period, the data is divided into pre capital control (1990 Q 1 to 1998 Q3) and post capital control ( 1998 Q4 to 2004 Q4) period. Cointegration test suggest the existence of long run relation between stock return and all the macroeconomic variables considered in the study, for the period before and after the implementation of capital control. The Granger causality test suggests bidirectional causal relationship between Kuala Lumpur Composite Index and macroeconomic before capital control, and unidirectional causality from macroeconomic variables to Kuala Lumpur Composite Index after capital control. The Granger causality test also suggests Second Board Index Granger causes macroeconomic variables before and after capital control. 2006 Thesis NonPeerReviewed application/pdf en http://eprints.usm.my/47470/1/PHANG%20CHEE%20KONG0000%20cut.pdf Phang, Chee Kong (2006) The Linkages Between Stock Return And Macroeconomic Variables In Malaysia. Masters thesis, Universiti Sains Malaysia. |
| spellingShingle | HF5001-6182 Business Phang, Chee Kong The Linkages Between Stock Return And Macroeconomic Variables In Malaysia |
| title | The Linkages Between
Stock Return And Macroeconomic Variables
In Malaysia |
| title_full | The Linkages Between
Stock Return And Macroeconomic Variables
In Malaysia |
| title_fullStr | The Linkages Between
Stock Return And Macroeconomic Variables
In Malaysia |
| title_full_unstemmed | The Linkages Between
Stock Return And Macroeconomic Variables
In Malaysia |
| title_short | The Linkages Between
Stock Return And Macroeconomic Variables
In Malaysia |
| title_sort | linkages between stock return and macroeconomic variables in malaysia |
| topic | HF5001-6182 Business |
| url | http://eprints.usm.my/47470/ |
| work_keys_str_mv | AT phangcheekong thelinkagesbetweenstockreturnandmacroeconomicvariablesinmalaysia AT phangcheekong linkagesbetweenstockreturnandmacroeconomicvariablesinmalaysia |