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The Impact of Macroeconomic Forces on Stock Returns in Malaysia

The objective of this paper is to investigate the relationship between macroeconomic factors namely, inflation, interest rates, money supply and exchange rates towards FTSE Bursa Malaysia stock markets price index for the period of 2000-2009 as monthly. The study develops four prespecified macroecon...

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Main Author: Siti Noorahayusolah, Kosnandi
Format: Thesis
Language:English
Published: 2011
Subjects:
HB Economic Theory
Online Access:http://etd.uum.edu.my/2726/1/Siti_Noorahayusolah.pdf
http://etd.uum.edu.my/2726/
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spelling my.uum.etd.27262016-04-24T01:14:19Z http://etd.uum.edu.my/2726/ The Impact of Macroeconomic Forces on Stock Returns in Malaysia Siti Noorahayusolah, Kosnandi HB Economic Theory The objective of this paper is to investigate the relationship between macroeconomic factors namely, inflation, interest rates, money supply and exchange rates towards FTSE Bursa Malaysia stock markets price index for the period of 2000-2009 as monthly. The study develops four prespecified macroeconomic variables consist of inflation, interest rate, money supply and exchange rate. Using Unit Root Test to compute the presence of stationarity, followed by Johanssen and Juselius Cointegration Test to examine the long run relationship and Pairwise Granger Causality Test to investigate the causal relationship between each factors. The macroeconomics factors do have relationships in long run and each macroeconomics variable causal to stock markets. 2011-02-17 Thesis NonPeerReviewed application/pdf en http://etd.uum.edu.my/2726/1/Siti_Noorahayusolah.pdf Siti Noorahayusolah, Kosnandi (2011) The Impact of Macroeconomic Forces on Stock Returns in Malaysia. Masters thesis, Universiti Utara Malaysia.
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Electronic Theses
url_provider http://etd.uum.edu.my/
language English
topic HB Economic Theory
spellingShingle HB Economic Theory
Siti Noorahayusolah, Kosnandi
The Impact of Macroeconomic Forces on Stock Returns in Malaysia
description The objective of this paper is to investigate the relationship between macroeconomic factors namely, inflation, interest rates, money supply and exchange rates towards FTSE Bursa Malaysia stock markets price index for the period of 2000-2009 as monthly. The study develops four prespecified macroeconomic variables consist of inflation, interest rate, money supply and exchange rate. Using Unit Root Test to compute the presence of stationarity, followed by Johanssen and Juselius Cointegration Test to examine the long run relationship and Pairwise Granger Causality Test to investigate the causal relationship between each factors. The macroeconomics factors do have relationships in long run and each macroeconomics variable causal to stock markets.
format Thesis
author Siti Noorahayusolah, Kosnandi
author_facet Siti Noorahayusolah, Kosnandi
author_sort Siti Noorahayusolah, Kosnandi
title The Impact of Macroeconomic Forces on Stock Returns in Malaysia
title_short The Impact of Macroeconomic Forces on Stock Returns in Malaysia
title_full The Impact of Macroeconomic Forces on Stock Returns in Malaysia
title_fullStr The Impact of Macroeconomic Forces on Stock Returns in Malaysia
title_full_unstemmed The Impact of Macroeconomic Forces on Stock Returns in Malaysia
title_sort impact of macroeconomic forces on stock returns in malaysia
publishDate 2011
url http://etd.uum.edu.my/2726/1/Siti_Noorahayusolah.pdf
http://etd.uum.edu.my/2726/
_version_ 1644276775550713856
score 13.211869

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