Stock returns and macroeconomic factors in an emerging economy: Malaysian evidence

Hassan Miras and Abul Masih

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the relationship between stock returns and macroeconomic variables in an emerging economy. Malaysia is taken as a case study. The evidence based on variance decompositions tends to indicate that interest rate is relatively most exogenous followed by stock returns, while consumer price index has been most endogenous. The findings reveal that all other endogenous variables are highly affected by stock returns. Impulse Response Functions to one standard deviation shock to the equation for Stock Returns and Exchange rate received significant responses from other variables. However, none of the variables reacted to a shock on oil price. The results have strong policy implications.

Keywords: Interest rate; Inflation; Oil price; Industrial production; Stock returns; Money supply; Exchange rate; Malaysia (search for similar items in EconPapers)
JEL-codes: C22 C58 E44 G15 (search for similar items in EconPapers)
Date: 2017-06-30
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/101229/1/MPRA_paper_101229.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:101229

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().