ISSN: 2222-6990
Open access
Investors should consider stock market performance when making an investment decision. Both economic and non-economic factors influence the stock market's performance. Previous research, primarily from developed markets, has revealed that macroeconomic factors significantly impact stock returns. Economic forces are used in this paper to investigate the significant relationship between selected macroeconomic variables, the Malaysian stock return index for the financial sector, and the Bursa Malaysia Finance Services Index. The macroeconomic variables examined are inflation (INF), money supply (M.S.) and the real effective exchange rate (REER). This study's sample consists of 164 time-series observations. The observations are annual secondary data obtained from the World Bank, Index Mundi, and the Malaysian Bureau of Statistics from January 1979 to December 2019. Several regression analyses and econometric tests were performed with the interactive software package E-Views 11. The findings of this research paper provide an initial overview and can serve as a valuable foundation for investors' and policymakers' respective investment strategies and policies.
Abbas, G., Bashir, U., Wang, S., Zebende, G. F., & Ishfaq, M. (2019). The return and volatility nexus among stock market and macroeconomic fundamentals for China. Physica A: Statistical Mechanics and its Applications, 526, 121025.
https://doi.org/10.1016/j.physa.2019.04.261
Ajewole, K. P., Adejuwon, S. O., & Jemilohun, V. G. (2020). Test for stationarity on inflation rates in Nigeria using Augmented Dickey-Fuller Test and Phillips-Persons Test. IOSR Journal of Mathematics (IOSR-JM), 16(3), 11-14. https://doi:10.9790/5728-1603031114
Aktivani, S. (2020). Uji stasioneritas data inflasi Kota Padang periode 2014-2019. Statistika, 20(2), 83-90. https://doi:10.29313/jstat.v20i2.7257
Antonakakis. N, Gupta, R., & Tiwari. A (2017). Has the correlation of inflation and stock price changed in the United States over the two centuries? Research in International Business and Finance 42, 1-8. https://doi:10.1016/j.ribaf.2017.04.005
Bhuiyan, E. M., & Chowdury, M. (2020). Macroeconomic variables and stock market indices: Asymmetric dynamics in the U.S. and Canada. The Quarterly Review of Economics and Finance, 77, 62-74. https://doi.org/10.1016/j.qref.2019.10.005
Erdogan, S., Gedikli, A., & Cevik, E. I. (2020). Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries. Borsa Istanbul Review, 20(4), 322-333. https://doi.org/10.1016/j.bir.2020.04.003
Escobari, D., Garcia, S., & Mellado, C. (2017). Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages. Emerging Markets Review, 33, 90-101. https://doi.org/10.1016/j.ememar.2017.09.001
Farooq, O., & Ahmed, N. (2018). Does inflation affect sensitivity of investment to stock prices? Evidence from emerging markets. Finance Research Letters, Elsevier, 25, 160-164. https://doi.org/10.1016/j.frl.2017.10.019
Gokmenoglu, K., Eren, B. M., & Hesami, S. (2021). Exchange rates and stock markets in emerging economies: New evidence using the quantile-on-quantile approach. Quantitative Finance and Economics, 5(1), 94-110.
https://doi.org/10.3934/QFE.2021005
Ho, S. Y., & Odhiambo, N. M. (2018). Analyzing macroeconomic drivers of stock market development in the Philipines. Cogent Economic & Finance, 6(1), 1-18.
https://doi.org/10.1080/23322039.2018.1451265
Hoque. M. E., & Yakob, N. A. (2017). Revisiting stock market development and economic growth nexus: The moderating role of foreign capital inflows and exchange rates. Cogent Economics & Finance, 5(1), 1-17.
https://doi.org/10.1080/23322039.2017.1329975
Hussain, S. M., & Omrane, W. B. (2020). The effect of U.S. macroeconomic news announcements on the Canadian stock market: Evidence using high-frequency data. Finance Research Letters, 38, 101450. https://doi.org/10.1016/j.frl.2020.101450
Jamaludin, N., Ismail, S., & Manaf, S. A. (2017). Macroeconomic variables and stock market return panel analysis from selected ASEAN countries. International Journal of Economics and Financial Issue, 7(1), 37-45. https://ideas.repec.org/a/eco/journ1/2017-01-07.html
Laichena. K. E., & Obwogi, T. N. (2015). Effects of macroeconic variables on stock returns in the East African community stock exchange market. International Journal of Education and Research, 3(10), 305-320. https://ijern.com/journal/2015/October-2015/24.pdf
Lee, H., & Kim, H. (2020) Time varying integration of European stock markets and monetary drivers. Journal of Empirical Finance, 58, 369–385.
https://doi.org/10.1016/j.jempfin.2020.07.004
Mahapatra, S., & Bhaduri, S. N. (2019). Dynamics of the impact of currency fluctuations on stock markets in India: Assessing the pricing of exchange rate risks. Borsa Istanbul Review, 19(1), 15-23. https://doi.org/10.1016/j.bir.2018.04.004
Megaravalli, A. V., & Sampagnaro, G. (2018). Macroeconomic indicators and their impact on stock market in ASIAN 3: A pooled mean group approach. Cogent Economics & Finance 6(1), 1-14. https://doi.org/10.1080/23322039.2018.1432450
Mwaanga, C., & Njebele, N. (2017). The long-run and short-run relationship between the exchange rates and stock market prices. Journal of Financial Risk Management, 6(4), 315-324. https://doi.org/10.4236/jfrm.2017.64023
Pan, L., & Mishra, V. (2018). Stock market development and economic growth: Empirical evidence from China. Economic Modelling, 68, 661-673.
https://doi.org/10.1016/j.econmod.2017.07.005
Picha, V. (2017). Effect of money supply on the stock market. Acta Universitasis Agriculturae et Silviculturae Mendelianae Brunensis, 65(2), 465-472.
https://doi.org/10.11118/actaun201765020465
Rasheed, A., Saeedi, M., Gebril, N., & Hariraj, K. (2020). Impact of macroeconomic variables on stock market of Malaysia. International Journal of Psychosocial Rehabilitation, 24(2), 1205-1204. https://doi.org/10.37200/IJPR/V24I2/PR200420
Shamsudin, N., Mahmood, W. M. W., & Ismail, F. (2013). The performance of stock and the indicators. International Journal of Trade, Economics and Finance, 4(6), 409-413. https://doi.org/10.7763/IJTEF.2013.V4.327
Singh, G., & Padmakumari, L. (2020). Stock market reaction to inflation announcement in the Indian stock market: A sectoral analysis. Journal Cogent Economics & Finance, 8(1), 1-22. https://doi:10.1080/23322039.2020.1723827
In-Text Citation: (Shamsudin et al., 2021)
To Cite this Article: Shamsudin, N., Rosmi, M. I., & Mohamed, S. (2021). Macroeconomic Variables Influence on Stock Market Performance. International Journal of Academic Research in Business and Social Sciences, 11(8), 1364–1376.
Copyright: © 2021 The Author(s)
Published by Human Resource Management Academic Research Society (www.hrmars.com)
This article is published under the Creative Commons Attribution (CC BY 4.0) license. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this license may be seen at: http://creativecommons.org/licences/by/4.0/legalcode