During the latest episode of general election held in Malaysia, it is observed that the FBMKLCI index was lifted 62.52 points in a day soon after the announcement of election outcome. Moreover, the index registered a highest gain of 96.29 points in the middle of the intra-day trade. This suggests that investors who had got the right direction could make profitable intra-day trading the next trading day of the general election date. Results from statistical analysis uncover significant before-election-effect and after-election-effect from the most recent general elections held in Malaysia. Different subsets of macroeconomic variables are found to have significant role on stock market return depending on the market situation. Remarkably, when there was close fight between the two major political parties during the 2008 and 2013 election years, political uncertainty showed up its negative and significant role in influencing the stock market return. The major implication of these findings is that while investors may seek abnormal returns before and after the next general election, which is around the corner, they will have to pay attention on the influence of macroeconomic variables and political uncertainty on stock market return during the election year.

The Movement Control Order (MCO) not only restricts movement of human being, it also reduces firms’ financial profits and brings significant impact to stock returns. The objective of this study is to examine the relation between Malaysian stock market returns and variables related to the novel Coronavirus (COVID-19) pandemic outbreak. The FTSE Bursa Malaysia KLCI Index and eight selected main indices from 2 January 2020 to April 30, 2020, which includes the first three MCOs, are considered in this study. The results show that daily new confirmed COVID-19 cases and deaths had negative but insignificant impact on the returns on indices. Interestingly, MCO had significant and positive impact on all the indices’ returns while oversea financial risks had negative impact on these returns. Furthermore, it is found that the degree of impacts of MCO and oversea financial risks varied positively with the firm size of the indices’ constituent companies. China’s decision on unchanged loan prime rate on the 20 February 2020 was a favorable news to the Malaysia stock markets as indicated by the positive returns on all the indices. Similarly, the degree of impact of the China interest policy also varied positively with the firms’ characteristics. These findings are useful for investors in the Bursa Malaysia to manage their investment portfolios based on their appetites for risk.

The economic performance of Malaysia was affected by a series of financial crises that had induced macroeconomic instability in the country, which in turn had immensely dampened the nation's economic growth rate. No doubt Malaysia needs an indicator to monitor the nation's economic performance from time to time. This study attempts to construct such indicator known as Macroeconomic Instability Index (MII). The constructed MII shows two significant spikes at 1998 and 2008, which correspond to the Asian Financial Crisis and US Subprime Mortgage respectively, that had resulted in negative growth rate for GDP of Malaysia in 1999 and 2010. Results obtained from further analysis by the ARDL technique show that MII has negative and significance effects on economic performance. Moreover, MII has predictive power against economic performance as early as two periods in advance. The constructed MII could serve as end-product for policy purposes or intermediate-product for other economic and finance studies.

This paper examines the impact of non-pharmaceutical intervention by government on stock market return as well as volatility. Using daily Malaysian equity data from January 28, 2020 to May 31, 2022, the regression analysis with bootstrapping technique reveals that the government’s response in combating the deadly virus through Stringency index has shown a positive direct effect on both stock market returns and volatility, and indirect negative effect on stock market returns. The study revealed that international travel restriction and cancelling public events are the major contributors to the growth of volatility when estimated for Malaysia stock market index. On the one hand, heterogenous impact is expected from the perspective of different sectors when the individual social distancing measures were taken into account in determining stock return and volatility. Apart from that, the robustness check for the main findings remains intact in majority of the regression models after incorporating daily COVID-19 death rate, log (daily vaccination) and day-of-the-week effect as additional control variable in alternative.

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