Linking Stock Prices and Macroeconomic Variables in Malaysia

• Main Authors: Ng, Yong Chew, Mori Kogid, Dullah Mulok
• Format: Article
• Language: English; English
• Published: Universiti Malaysia Sabah 2018
• Subjects: HB3711-3840 Business cycles. Economic fluctuations
• Online Access: https://eprints.ums.edu.my/id/eprint/33129/1/Linking%20Stock%20Prices%20and%20Macroeconomic%20Variables%20in%20Malaysia.pdf; https://eprints.ums.edu.my/id/eprint/33129/2/Linking%20Stock%20Prices%20and%20Macroeconomic%20Variables%20in%20Malaysia1.pdf; https://eprints.ums.edu.my/id/eprint/33129/; https://jurcon.ums.edu.my/ojums/index.php/BIMP-EAGA/article/view/3112

This study investigates the relationship between stock prices and selected macroeconomic variables from January 1980 to May 2017 using monthly data comprising 449 observations. The study employs several econometric tests such as unit root test for stationarity test, cointegration test and Granger ca...