An empirical analysis of macroeconomic variables and stock market return / Nor Artini Roslan

• Main Author: Roslan, Nor Artini
• Format: Student Project
• Language: English
• Published: 2013
• Subjects: Macroeconomics; Investment companies. Investment trusts. Mutual funds; Stockbrokers. Security dealers. Investment advisers. Online stockbrokers; Stock price indexes. Stock quotations
• Online Access: http://ir.uitm.edu.my/id/eprint/41191/1/41191.pdf; http://ir.uitm.edu.my/id/eprint/41191/

This paper attempts to investigate about the relationship between three macroeconomic variables and stock return market from 2008 until 2011 that contains monthly data for 48 sample number of observations. The macroeconomic variables being investigated are consumer price index, money supply measured by M2, and interest rate and the stock market return is Kuala Lumpur Composite Index. Multiple Regressions is used to examine the existence of relationship between stock return and macroeconomic variables. Additionally, this paper investigates which macroeconomic variables are most and least significant with stock market return which is Kuala Lumpur Composite Index. The results of the regression analysis indicate that KLCI is significant and positive relationship examined by money supply. Consumer price index is significant but negative relationship with stock price but interest rate is insignificant and positive relationship with stock prices. Industrial Production is significant positive relationship