Macroeconomic determinants of stock market returns in Malaysia: evidence from FTSE KLCI / Nur Syuhadah Rosli

• Main Author: Rosli, Nur Syuhadah
• Format: Student Project
• Language: English
• Published: Faculty of Business and Management 2019
• Subjects: Macroeconomics; Stock exchanges. Insider trading in securities; Kuala Lumpur. KLSE
• Online Access: http://ir.uitm.edu.my/id/eprint/25958/1/PPb_NUR%20SYUHADAH%20ROSLI%20%20BM%20M%2019_5.pdf; http://ir.uitm.edu.my/id/eprint/25958/

The study has been conducted to determine whether the macroeconomic variables give impact towards stock market returns in Malaysia from 2007 to 2018 which contains quarterly data set of 47 observation. The trend for FTSE KLCI has been fluctuated since Global Financial Crisis 2008. The primary objective of this research is to investigate the relationship between macroeconomic variables which are interest rate (INT), inflation rate (INF), exchange rate (EXC) , Gross Domestic Product (GDP) and crude oil price (COP) towards stock market returns. The study employed Unit Root Test, Multiple Linear Regression, descriptive analysis, diagnostic test and multicollinearity test. In conclusion, according to the result that use normal logarithm to convert all the raw data form, by using multiple regression method it reveals that INT, EXC, COP and GDP have significant relationship with the stock market return in Malaysia.