Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis

Ibrahim, Mansor H.

doi:10.1111/1467-8381.00082

Cited by 86 publications

(66 citation statements)

References 16 publications

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“…Specifically, the results are confirmed with earlier results of Ibrahim (1999) who found that the money supplies are positively and negatively associated with SMI in both long-run and short-run. The contraction of money supply leads to lower interest rate, lower firm investment, and then, decreases the attractiveness of investors to invest in stock market.…”

Section: Policy Implicationssupporting

confidence: 88%

Investigating Equilibrium Relationship between Macroeconomic Variables and Malaysian Stock Market Index through Bounds Tests Approach

Bekhet¹,

Mugableh²

2012

IJEF

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The current paper conducts an empirical examination into the long-run and short-run equilibrium relationships between macroeconomic variables and the Malaysian stock market index (SMI) for the 1977-2011 period. Specifically, it employs Ng and Perron (NP) bounds statistics test to detect the boundaries of variables stationarity. Subsequently, the co-integrating relationships among variables are tested using the bounds F-statistic test. Eventually, the long-run and short-run equilibrium relationships are analyzed using Pesaran, Shin, and Smith (PSS) bounds tests Approach. The results indicate that all macroeconomic variables are co-integrated with SMI. Besides, understanding the long-run and short-run equilibrium relationships between macroeconomic variables and SMI could be highly appreciable from the perspectives of policymakers, financial economists, domestic and international investors dealing with Malaysian stock market.

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Section: Policy Implicationssupporting

confidence: 88%

Investigating Equilibrium Relationship between Macroeconomic Variables and Malaysian Stock Market Index through Bounds Tests Approach

Bekhet¹,

Mugableh²

2012

IJEF

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“…However, the selection of monthly data is based on three primary reasons. First, the selection enables us to confine the long term movements and to prevent the impact of delays in clearing and settlements which considerably influences the stocks over a shorter interval (daily or weekly) and also prevents the issue of spurious correlation (Baillie & DeGennaro, 1990;Beirne, Maria, & Spagnolo, 2009;Elyasiani & Mansur, 1998;Faff & Chan, 1998;Faff, Hodgson, & Kremmer, 2005;Ibrahim, 1999 andPatra &Poshakwale, 2006). Secondly, the use of monthly data furnishes the opportunity to study a longer historical period by including such samples that can consequently provide better insight into the long-term volatility movements (Baillie & DeGennaro, 1990;Elyasiani & Mansur, 1998).…”

Section: Data and Descriptive Statisticsmentioning

confidence: 99%

Pricing of risk and volatility dynamics on an emerging stock market: evidence from both aggregate and disaggregate data

Khan

Rehman

Khan

et al. 2016

Economic Research-Ekonomska Istraživanja

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This study analyses risk-return trade-off and behaviour of various volatility dynamics including: volatility, its persistence, mean reversion and speed of mean reversion along with asymmetry and leverage effect on the Pakistani stock market by employing aggregate (aggregate market level) and disaggregate (sectoral level) monthly data for the period from 1998 to 2012. Three generalised autoregressive conditional heteroscedasticity models were applied: GARCH (1,1) for various volatility dynamics; EGARCH for asymmetric and leverage effect and GARCH-M for pricing of risk. The outcomes of the study are as follows: first, the volatility shocks are quite persistent but with varying degrees across the sectors. Both the ARCH effect (short-term effect) and GARCH effect (long-term effect) play their role in generating conditional future stock returns volatility. Further, overall the volatility process is mean reverting; however, the speed of mean reversion varies across the sectors. Secondly, the current study finds little evidence of asymmetry and leverage effect at both aggregate and disaggregates data. Thirdly, the pricing of risk (positive risk premium) is also evident, particularly at the disaggregate data in the Pakistani stock market. Finally, this research study sets the implications for both the policy makers and investors.

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“…Previous researchers attempt to investigate the existence of Fisher Effect in the stock market Ibrahim (1999), Al-Khazali (2004), Hawati et al (2010) and Geetha, Chong, Mohidin, & Vivin Vincent Chandran, (2011). Ibrahim (1999 examines the dynamic interactions in term of long run equilibrium and short run dynamics between seven macroeconomic variables and the stock prices in Malaysia while Al-Khazali investigates the generalized Fisher hypothesis for nine equity markets in the Asian countries.…”

Section: Journal Of Social Science Studiesmentioning

confidence: 99%

“…In Malaysia, many studies have been done to investigate the Fisher Effect in stock market (Ibrahim, 1999;Al-Khazali, 2004), bond market (Fah & Annuar, 2012) and foreign exchange market (Asari, Baharuddin, Jusoh, Mohamad, & Jusoff, 2011). However, no study has been undertaken to determine the relationship between nominal interest rates and expected rate of inflation in the money market.…”

Section: Introductionmentioning

confidence: 99%

Fisher Effect: Evidence From Money Market in Malaysia

Zainal

Nassir

Yahya

2014

jsss

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The Fisher Effect, proposed by Fisher (1930), has been the subject of many empirical researches in various countries. In Malaysia, previous empirical studies on Fisher Effect have focused the relationship on stock and bond market, leaving the money market with no or very few studies. The Malaysian money market has gained importance and interests as it shows rapid growth in volume transaction. This paper aims at investigating the validity of Fisher Effect on Malaysian money market. The time series between 2000 to 2012 is chosen as the study duration. Three variables were targeted in this study, they are, inflation Rate (INF), 3-months treasury bills rate (MTB) and interbank rate (IBR). To study the relationship, this paper employs Autoregressive Distributed Lag (ARDL) bounds test that is capable of testing for the existence of a long-run relationship between the variables irrespective of whether the time series are I(0) or I(1). The estimation results indicate the presence of long run cointegration among the variables. Overall the study provides evidence on the Fisher Effect in Malaysia.

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Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis

Cited by 86 publications

References 16 publications

Investigating Equilibrium Relationship between Macroeconomic Variables and Malaysian Stock Market Index through Bounds Tests Approach

Investigating Equilibrium Relationship between Macroeconomic Variables and Malaysian Stock Market Index through Bounds Tests Approach

Pricing of risk and volatility dynamics on an emerging stock market: evidence from both aggregate and disaggregate data

Fisher Effect: Evidence From Money Market in Malaysia

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