research-abstracts.page.titleprefix
Macroeconomic activity and the Malaysian stock market : empirical evidence of dynamic relations
Macroeconomic activity and the Malaysian stock market : empirical evidence of dynamic relations
| dc.contributor.author | Rasiah, R. Ratneswary V. | |
| dc.date.accessioned | 2022-11-10T19:11:54Z | |
| dc.date.available | 2022-11-10T19:11:54Z | |
| dc.date.copyright | Items in this repository are protected by copyright, with all rights reserved, unless otherwise indicated | |
| dc.date.issued | 2014-00-00 | |
| dc.description | Abstract : This study uses time-series analysis to investigate the long-run relationships and short-run dynamic interactions between the stock market and various macroeconomic variables in Malaysia over the period 1980:01 to 2006:12. The study applies the multivariate cointegration methodology to establish the possible causal relations between these variables. The cointegration test and the vector error correction model demonstrates the evidence of positive long-run relationships between real stock price and measures of aggregate economic activity including industrial production, consumer price index, money supply and real exchange rate. The long-term elasticity coefficients of the macroeconomic variables on stock prices display relationships that are theoretically grounded. Further analysis using variance decompositions lends evidence of the dominant influence of certain macroeconomic variables namely: consumer price index, money supply and real exchange rate in forecasting stock price variance. | |
| dc.description | Full text access : Research & development Centre, Taylor’s University, Malaysia (e-mail: GTDLSRnD@taylors.edu.my) | |
| dc.identifier.uri | https://irepo.taylors.edu.my/handle/123456789/496 | |
| dc.subject | Economics--Malaysia | |
| dc.subject | Macroeconomics | |
| dc.subject | Bursa Malaysia | |
| dc.subject | Stock exchanges--Malaysia | |
| dc.title | Macroeconomic activity and the Malaysian stock market : empirical evidence of dynamic relations | |
| dspace.entity.type | Research-Abstracts | |
| local.identifiers | vital:1168 | |
| local.identifiers | valet-20140730-134717 | |
| local.language | English | |
| local.school | Taylor's Business School |