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An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand

This paper employs the Error-Correction Modeling technique to examine the relationship between macroeconomics variables and the stock returns of Malaysia and Thailand. The study extends Mukherje and Naka's (1995) analysis of the Japanese Market. In addition, the article expands the results obta...

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Main Authors: Ramin Cooper Maysami,, Sim, Hsein Hui
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2001
Online Access:http://journalarticle.ukm.my/1750/1/1468-2755-1-SM.pdf
http://journalarticle.ukm.my/1750/
http://www.ukm.my/penerbit/jurus.htm
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spelling my-ukm.journal.17502016-12-14T06:30:09Z http://journalarticle.ukm.my/1750/ An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand Ramin Cooper Maysami, Sim, Hsein Hui This paper employs the Error-Correction Modeling technique to examine the relationship between macroeconomics variables and the stock returns of Malaysia and Thailand. The study extends Mukherje and Naka's (1995) analysis of the Japanese Market. In addition, the article expands the results obtained by Maysami and Koh (2000) through the employment of Hendry's (1986) approach which allows a making inferences to the short-run relationship between macroeconomic variables analyzed are interest rate, inflation, money supply, exchange rate and real activity. A dummy variable is included to capture the impact of the 1997 Asian financial crisis. The results confirm the existence of such relationships, but type and magnitude of the associations seem to differ depending on the country's financial structure. The paper presents the economic interpretation for the dependence of the stock indices on these variables as well as discussing the mechanism of the relationship Penerbit Universiti Kebangsaan Malaysia 2001-07 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/1750/1/1468-2755-1-SM.pdf Ramin Cooper Maysami, and Sim, Hsein Hui (2001) An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand. Jurnal Pengurusan, 20 . ISSN 0127-2713 http://www.ukm.my/penerbit/jurus.htm
institution Universiti Kebangsaan Malaysia
building Perpustakaan Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
description This paper employs the Error-Correction Modeling technique to examine the relationship between macroeconomics variables and the stock returns of Malaysia and Thailand. The study extends Mukherje and Naka's (1995) analysis of the Japanese Market. In addition, the article expands the results obtained by Maysami and Koh (2000) through the employment of Hendry's (1986) approach which allows a making inferences to the short-run relationship between macroeconomic variables analyzed are interest rate, inflation, money supply, exchange rate and real activity. A dummy variable is included to capture the impact of the 1997 Asian financial crisis. The results confirm the existence of such relationships, but type and magnitude of the associations seem to differ depending on the country's financial structure. The paper presents the economic interpretation for the dependence of the stock indices on these variables as well as discussing the mechanism of the relationship
format Article
author Ramin Cooper Maysami,
Sim, Hsein Hui
spellingShingle Ramin Cooper Maysami,
Sim, Hsein Hui
An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand
author_facet Ramin Cooper Maysami,
Sim, Hsein Hui
author_sort Ramin Cooper Maysami,
title An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand
title_short An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand
title_full An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand
title_fullStr An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand
title_full_unstemmed An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand
title_sort empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of malaysia and thailand
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2001
url http://journalarticle.ukm.my/1750/1/1468-2755-1-SM.pdf
http://journalarticle.ukm.my/1750/
http://www.ukm.my/penerbit/jurus.htm
_version_ 1643735140215554048
score 13.211869

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