The Relationship Between Volatility of Malaysian Stock Price and the Volatility of Macroeconomic Variables for Five Asian Countries PDF Download

Author: Mai Syaheera Miau Shaari
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 77

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Author: Kashan Pirzada
Publisher:
ISBN:
Category :
Languages : en
Pages : 11

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Objective - The purpose of this paper is to observe the volatile movement of the US dollar ('USD') and its impact on the Malaysian stock market.Methodology/Technique - This study would look at how the USD had progressed and how it delivers a significant effect on the Malaysian stock market; this is presented by the FBM Kuala Lumpur Composite Index ('FBM KLCI'). This index acts as one of the indicators for internal and external investors on the overall performance of the Malaysian stock market, and thus on their economic state in general.Findings - After the simple regression analysis was conducted in this study, the results confirmed that the USD has a positive relationship with the FBM KLCI. The null hypothesis has been rejected, and the test was statistically significant at 10% confidence level.Novelty - Previous research has focused on the countries of the author and few have touched numbers of macroeconomic variables at large. In this paper, only the Malaysian view is considered, and the macroeconomic variable will merely focus on the exchange rate of the USD against the Ringgit.

Author: Mugableh Mohamed Ibrahim
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659788703
Category :
Languages : en
Pages : 204

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Nowadays, overseas investors, academics, and researchers have paid increased attention to investigating capital markets and economies, especially the largest among the association of Southeast Asian countries. Indeed, the economies and capital markets of these countries have provided several attractive investment prospects to domestic and foreign investors. Hence, the main purpose of this work is to investigate equilibrium relationships and causality directions between macroeconomic variables and the Malaysian stock market index. Employing equilibrium time-series approach (i.e., the Auto regressive Distributed Lag Approach), the current manuscript analyses the long-run and short-run relationships between the Malaysian capital market index and macroeconomic indicators, namely gross domestic product, producer price index, consumer price index, exchange rates, broadest money supply, foreign direct investment inflows, deposit interest rates, and gross domestic savings. The examined time-series variables are available on an annual basis for the (1977 2012) period."

Author: LEE WAN CHING (TP038359)
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 94

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Author: Lee Hen Cheah
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Dercio Chauque
Publisher: Grin Publishing
ISBN: 9783668546974
Category :
Languages : en
Pages : 128

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Bachelor Thesis from the year 2017 in the subject Economics - Finance, grade: 2, Asia Pacific University of Technology and Innovation, language: English, abstract: This research paper investigates the dynamic relationship between Kuala Lumpur Composite Index (KLCI) and four selected macroeconomic variables namely exchange rate, inflation rate, crude oil price and foreign direct investment. The research consists of 108 monthly observations from the period of January 2007 to December 2015. In this research, the Augmented Dickey-Fuller test (ADF) showed that at 5% significance level, all the variables are stationary at first difference. For the diagnostic tests, there is no multicollinearity, heteroscedasticity, autocorrelation, and model specification problems. However, normality problem was detected in the model. Moreover, Granger causality test and OLS regression model were carried out to determine the short-run and long-run relationships between the KLCI and the selected macroeconomic variables respectively. Results suggest that in the short-run there is no relationship between the KLCI and the four selected macroeconomic variables. However, in the long-run exchange rate, inflation rate, and crude oil prices are found to significantly affect the performance of KLCI, whereas foreign direct investment is found not to influence the movements of KLCI. The exchange rate and inflation negatively affect the KLCI, and the crude oil price has a positive impact in the KLCI movements.

Author: Embun Prowanta
Publisher:
ISBN:
Category :
Languages : en
Pages : 6

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Objective - The objective of the study is to empirically investigate the relationship between macroeconomic variables as Gross Domestic Product (GDP), inflation, interest rates, exchange rates, foreign exchange reserves, current accounts and export-import towards the stock price index. Methodology/Technique - The data used is monthly data for macroeconomic and the stock price index of five ASEAN countries including Indonesia, Malaysia, Singapore, Thailand and the Philippines from 2006 to 2015. The analysis uses a regression estimation of panel data and a series of chow tests i.e. the Hausman test and the LM test as the selection process, with the aim of determining the macroeconomic variables that could significantly affect the stock price index of five ASEAN countries. Findings - The result show that of the seven macroeconomic variables affecting the stock price index, only four macroeconomic variables showed a significant effect. These are GDP, interest rates, exchange rates, and inflation. Meanwhile, three other variables (foreign exchange reserves, current accounts and export-import) did not show a significant effect. Novelty - The study looked at the effect of deregulation on stock markets, focusing on variables that significantly influence the stock price index.

Author: Yahya Waqas
Publisher:
ISBN:
Category :
Languages : en
Pages : 10

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Macroeconomic factors play a pivotal role in attracting foreign investment in the country. This study investigates the relationship between macroeconomic factors and foreign portfolio investment volatility in South Asian countries. The monthly data is collected for the period ranging from 2000 to 2012 for four Asian countries i.e. China, India, Pakistan and Sri Lanka because monthly data is ideal for measuring portfolio investment volatility. For measuring volatility in foreign portfolio investment, GARCH (1,1) is used because shocks are responded quickly by this model. The results reveal that there exists significant relationship between macroeconomic factors and foreign portfolio investment volatility. Thus, less volatility in international portfolio flows is associated with high interest rate, currency depreciation, foreign direct investment, lower inflation, and higher GDP growth rate of the host country. Thus findings of this study suggest that foreign portfolio investors focus on stable macroeconomic environment of country.

Author: Praphon Kanokwichitsilp
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 120

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Author: Aubrey Poon
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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After the introductory chapter, this thesis comprises of three chapters that examines the application of time-varying parameter and stochastic volatility models to the Malaysian and Australian economy. Chapter 2 aims to determine whether the propagation and transmission mechanism of Malaysian monetary policy differed during the Asian Financial Crisis of 1997/98 and the Global Financial Crisis of 2007/08. The methodology employs a time-varying vector-autoregression framework. The primary result is that despite having no evidence of time-variation in the propagation mechanism of Malaysian monetary policy the average contribution of a monetary policy shock to the variability of each macroeconomic variable-Real GDP, Inflation and the Nominal Effective Exchange Rate-differs between the two crises. This finding suggests that despite the propagation mechanism being relatively constant, Malaysia's monetary policy transmission mechanism evolves over time. We believe that the main mechanism driving this evolution is the time-variation in the variance-covariance matrix of the shocks of the model, not the coefficients. We also find some evidence that the implementation of capital controls reduced the influenceability of monetary policy on the Malaysian economy. Chapter 3 investigates whether incorporating time variation and fat-tails into a suite of popular univariate and multivariate Gaussian distributed models can improve the forecast performance of key Australian macroeconomic variables: real GDP growth, CPI inflation and a short-term interest rate. The forecast period is from 1992Q1 to 2014Q4, thus replicating the central banks forecasting responsibilities since adopting inflation targeting. We show that time varying parameters and stochastic volatility with Student's-t error distribution are important modeling features of the data. More specifically, a vector autoregression with the proposed features provides the best interest and inflation forecasts over the entire sample. Remarkably, the full sample results show that a simple rolling window autoregressive model with Student's-t errors provides the most accurate GDP forecasts. Chapter 4 estimates a time-varying parameter Panel Bayesian vector autoregression with a new feature: a common stochastic volatility factor in the error structure, to assess the synchronicity and the nature of Australian State business cycles. The common stochastic volatility factor reveals that macroeconomic volatility or uncertainty was more pronounced during the Asian Financial Crisis as compared to the more recent Global Financial Crisis. Next, the Panel VAR's common, regional and variable specific indicators capture several interesting economic facts. In the first instance, the fluctuations of the common indicator closely follow the trend line of the Organisation for Economic Co-operation and Development composite leading indicators for Australia making it a good proxy for nationwide business cycle fluctuations. Next, despite significant co-movements of Australian States and Territory business cycles during times of economic contractions, the regional indicators suggest that the average degree of synchronisation across the Australian States and Territories cycles in the 2000s is only half of that presented in the 1990s. Given that aggregate macroeconomic activity is determined by cumulative activity of each of the nation states, the results suggests that the Federal Government should award state governments greater autonomy in handling state specific cyclical fluctuations.