Causal relationship between the volatility of stock market and selected macroeconomic variables: case of Malaysia

• Main Authors: Lida Nikmanesh,, Abu Hassan Shaari Md Nor,, Tamat Sarmidi,, Hawati Janor,
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2014
• Online Access: http://journalarticle.ukm.my/8412/1/jeko_48%281%29-12.pdf; http://journalarticle.ukm.my/8412/; http://www.ukm.my/fep/jem/index.html

This study examines the dynamic relationship between the volatility of stock market and macroeconomics’ volatility in Malaysia during the period of February 1991 to February 2013. For this purpose, monthly data on the KLCI stock index and a set of macroeconomic variables are used. Firstly, in orde...