Relationship between macroeconomic variables towards stock prices from year 2004-2009/ Ungku Nur Hasyirah U. Iskandar

This paper aims to investigate the dynamic interaction between four macroeconomic variables and the stock prices from year 2004 until 2009. The macro variable consists of Gross Domestic Product, Consumer Price Index, Interest Rate on Treasury Bills and Exchange Rate of Ringgit Malaysia against US Do...

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Main Author:	U. Iskandar, Ungku Nur Hasyirah
Format:	Student Project
Language:	English
Published:	Faculty of Business and Management 2011
Subjects:	Macroeconomics Stock price indexes. Stock quotations
Online Access:	http://ir.uitm.edu.my/id/eprint/19158/ http://ir.uitm.edu.my/id/eprint/19158/2/PPb_UNGKU%20NUR%20HASYIRAH%20U.ISKANDAR%20BM%20T%20%2011_5.pdf

id	uitm-19158
recordtype	eprints
spelling	uitm-191582018-12-18T04:51:13Z http://ir.uitm.edu.my/id/eprint/19158/ Relationship between macroeconomic variables towards stock prices from year 2004-2009/ Ungku Nur Hasyirah U. Iskandar U. Iskandar, Ungku Nur Hasyirah Macroeconomics Stock price indexes. Stock quotations This paper aims to investigate the dynamic interaction between four macroeconomic variables and the stock prices from year 2004 until 2009. The macro variable consists of Gross Domestic Product, Consumer Price Index, Interest Rate on Treasury Bills and Exchange Rate of Ringgit Malaysia against US Dollar. The cointegration and causality Error Correction Model (ECM) were used in this study, to analyze the disequilibrium in the short-run and long-run relationship among the variables thus determine the stability and normality of data series. By using Johansen’s Cointegration Test, this study concludes that there is long run relationship exists between stock prices and explanatory variables with lag order of 2. There is also uni-directional causality existed between GDP and stock prices and interest rate with stock prices. After applying Lagrange-Multiplier Test and Jarque Bera Test, the result indicates that there is no autocorrelation problem existed and the data series is normally distributed. Finally, both positive and negative direction shown in this research where GDP and Exchange Rate were found to be in positive relationship with stock prices while CPI and Interest Rate show a negative relationship occur between them. Faculty of Business and Management 2011 Student Project NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/19158/2/PPb_UNGKU%20NUR%20HASYIRAH%20U.ISKANDAR%20BM%20T%20%2011_5.pdf U. Iskandar, Ungku Nur Hasyirah (2011) Relationship between macroeconomic variables towards stock prices from year 2004-2009/ Ungku Nur Hasyirah U. Iskandar. [Student Project] (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
topic	Macroeconomics Stock price indexes. Stock quotations
spellingShingle	Macroeconomics Stock price indexes. Stock quotations U. Iskandar, Ungku Nur Hasyirah Relationship between macroeconomic variables towards stock prices from year 2004-2009/ Ungku Nur Hasyirah U. Iskandar
description	This paper aims to investigate the dynamic interaction between four macroeconomic variables and the stock prices from year 2004 until 2009. The macro variable consists of Gross Domestic Product, Consumer Price Index, Interest Rate on Treasury Bills and Exchange Rate of Ringgit Malaysia against US Dollar. The cointegration and causality Error Correction Model (ECM) were used in this study, to analyze the disequilibrium in the short-run and long-run relationship among the variables thus determine the stability and normality of data series. By using Johansen’s Cointegration Test, this study concludes that there is long run relationship exists between stock prices and explanatory variables with lag order of 2. There is also uni-directional causality existed between GDP and stock prices and interest rate with stock prices. After applying Lagrange-Multiplier Test and Jarque Bera Test, the result indicates that there is no autocorrelation problem existed and the data series is normally distributed. Finally, both positive and negative direction shown in this research where GDP and Exchange Rate were found to be in positive relationship with stock prices while CPI and Interest Rate show a negative relationship occur between them.
format	Student Project
author	U. Iskandar, Ungku Nur Hasyirah
author_facet	U. Iskandar, Ungku Nur Hasyirah
author_sort	U. Iskandar, Ungku Nur Hasyirah
title	Relationship between macroeconomic variables towards stock prices from year 2004-2009/ Ungku Nur Hasyirah U. Iskandar
title_short	Relationship between macroeconomic variables towards stock prices from year 2004-2009/ Ungku Nur Hasyirah U. Iskandar
title_full	Relationship between macroeconomic variables towards stock prices from year 2004-2009/ Ungku Nur Hasyirah U. Iskandar
title_fullStr	Relationship between macroeconomic variables towards stock prices from year 2004-2009/ Ungku Nur Hasyirah U. Iskandar
title_full_unstemmed	Relationship between macroeconomic variables towards stock prices from year 2004-2009/ Ungku Nur Hasyirah U. Iskandar
title_sort	relationship between macroeconomic variables towards stock prices from year 2004-2009/ ungku nur hasyirah u. iskandar
publisher	Faculty of Business and Management
publishDate	2011
url	http://ir.uitm.edu.my/id/eprint/19158/ http://ir.uitm.edu.my/id/eprint/19158/2/PPb_UNGKU%20NUR%20HASYIRAH%20U.ISKANDAR%20BM%20T%20%2011_5.pdf
first_indexed	2023-09-18T23:01:59Z
last_indexed	2023-09-18T23:01:59Z
_version_	1777418233812353024

Relationship between macroeconomic variables towards stock prices from year 2004-2009/ Ungku Nur Hasyirah U. Iskandar

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