Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN Countries

Nurasyikin Jamaludin, Shahnaz Ismail and Syamimi Ab Manaf
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Nurasyikin Jamaludin: School of Maritime Business and Management, Universiti Malaysia Terengganu, Malaysia,
Shahnaz Ismail: School of Maritime Business and Management, Universiti Malaysia Terengganu, Malaysia,
Syamimi Ab Manaf: School of Maritime Business and Management, Universiti Malaysia Terengganu, Malaysia.

International Journal of Economics and Financial Issues, 2017, vol. 7, issue 1, 37-45

Abstract: This paper aims to examine the effect of macroeconomic variables namely inflation, money supply (MS), and exchange rate (ER) on both conventional and Islamic stock market returns in the three selected ASEAN countries (Singapore, Malaysia, Indonesia) by utilizing monthly data over the period of January 2005 to December 2015. Applying the panel least square regression techniques, the results show that both stock market returns are significantly affected by the ER and inflation rate. MS is found to be insignificant. The findings of this paper also conclude that inflation poses a greater effect and inversely related to the stock market returns. In this case, there is a need for amendment in monetary policy to ensure that inflation rate is set at a low level, since the results would be able to bring an impact to boost the capital market in the selected ASEAN countries

Keywords: Macroeconomic Variables; Stock Market Returns; ASEAN (search for similar items in EconPapers)
JEL-codes: E03 E60 F62 G10 G18 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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