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A note on the relationships between the stock market and macroeconomic variables in Malaysia: An empirical re-examination of Granger non-causality test

The purpose of the present paper is to determine whether stock returns are leading indicator for future economic activity in Malaysia. In this study we employ the Granger non-causality test recently proposed by Toda and Yamamoto (1995) to test the causal relationships between the KLSE stock prices a...

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Main Authors: Habibullah, Muzafar Shah, Azali, M., Azman-Saini, W.N.W., Baharumshah, Ahmad Zubaidi
Format: Article
Language:English
Published: Universiti Utara Malaysia 2000
Subjects:
HB Economic Theory
Online Access:http://repo.uum.edu.my/784/1/Muzafar_Shah_Habibullah.pdf
http://repo.uum.edu.my/784/
http://ijms.uum.edu.my
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spelling my.uum.repo.7842010-09-30T06:40:35Z http://repo.uum.edu.my/784/ A note on the relationships between the stock market and macroeconomic variables in Malaysia: An empirical re-examination of Granger non-causality test Habibullah, Muzafar Shah Azali, M. Azman-Saini, W.N.W. Baharumshah, Ahmad Zubaidi HB Economic Theory The purpose of the present paper is to determine whether stock returns are leading indicator for future economic activity in Malaysia. In this study we employ the Granger non-causality test recently proposed by Toda and Yamamoto (1995) to test the causal relationships between the KLSE stock prices and six macroeconomic variables for the sample period 1981:l to 1994:4. Our results indicate that stock prices are independent with respect with macroeconomic variables, except with money supply Universiti Utara Malaysia 2000 Article PeerReviewed application/pdf en http://repo.uum.edu.my/784/1/Muzafar_Shah_Habibullah.pdf Habibullah, Muzafar Shah and Azali, M. and Azman-Saini, W.N.W. and Baharumshah, Ahmad Zubaidi (2000) A note on the relationships between the stock market and macroeconomic variables in Malaysia: An empirical re-examination of Granger non-causality test. Analisis, 7 (1&2). pp. 143-153. ISSN 0127-8983 http://ijms.uum.edu.my
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic HB Economic Theory
spellingShingle HB Economic Theory
Habibullah, Muzafar Shah
Azali, M.
Azman-Saini, W.N.W.
Baharumshah, Ahmad Zubaidi
A note on the relationships between the stock market and macroeconomic variables in Malaysia: An empirical re-examination of Granger non-causality test
description The purpose of the present paper is to determine whether stock returns are leading indicator for future economic activity in Malaysia. In this study we employ the Granger non-causality test recently proposed by Toda and Yamamoto (1995) to test the causal relationships between the KLSE stock prices and six macroeconomic variables for the sample period 1981:l to 1994:4. Our results indicate that stock prices are independent with respect with macroeconomic variables, except with money supply
format Article
author Habibullah, Muzafar Shah
Azali, M.
Azman-Saini, W.N.W.
Baharumshah, Ahmad Zubaidi
author_facet Habibullah, Muzafar Shah
Azali, M.
Azman-Saini, W.N.W.
Baharumshah, Ahmad Zubaidi
author_sort Habibullah, Muzafar Shah
title A note on the relationships between the stock market and macroeconomic variables in Malaysia: An empirical re-examination of Granger non-causality test
title_short A note on the relationships between the stock market and macroeconomic variables in Malaysia: An empirical re-examination of Granger non-causality test
title_full A note on the relationships between the stock market and macroeconomic variables in Malaysia: An empirical re-examination of Granger non-causality test
title_fullStr A note on the relationships between the stock market and macroeconomic variables in Malaysia: An empirical re-examination of Granger non-causality test
title_full_unstemmed A note on the relationships between the stock market and macroeconomic variables in Malaysia: An empirical re-examination of Granger non-causality test
title_sort note on the relationships between the stock market and macroeconomic variables in malaysia: an empirical re-examination of granger non-causality test
publisher Universiti Utara Malaysia
publishDate 2000
url http://repo.uum.edu.my/784/1/Muzafar_Shah_Habibullah.pdf
http://repo.uum.edu.my/784/
http://ijms.uum.edu.my
_version_ 1644277862652444672
score 13.149126

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