The determinants of stock market return (KLCI) in Malaysia / Nor Hidayah Mazlan

This paper aims is finding out the effect of macroeconomic determinant on stock market performance in Malaysia. The study is focuses on stock index which is FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI). The macroeconomic variables considered are interest rate (3 month interbank rates),...

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Main Author:	Mazlan, Nor Hidayah
Format:	Student Project
Language:	English
Published:	Faculty of Business and Management 2015
Subjects:	Stock exchanges. Insider trading in securities Stock price indexes. Stock quotations
Online Access:	http://ir.uitm.edu.my/id/eprint/21429/ http://ir.uitm.edu.my/id/eprint/21429/8/PPb_NOR%20HIDAYAH%20MAZLAN%20J%20BM15_5.pdf

id	uitm-21429
recordtype	eprints
spelling	uitm-214292018-11-13T09:13:39Z http://ir.uitm.edu.my/id/eprint/21429/ The determinants of stock market return (KLCI) in Malaysia / Nor Hidayah Mazlan Mazlan, Nor Hidayah Stock exchanges. Insider trading in securities Stock price indexes. Stock quotations This paper aims is finding out the effect of macroeconomic determinant on stock market performance in Malaysia. The study is focuses on stock index which is FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI). The macroeconomic variables considered are interest rate (3 month interbank rates), exchange rate, crude palm oil price, money supply (M2) and inflation rate. The sample of this study comprises of 60 observations each of the independent and dependent variables on a monthly basis over 5 years period from January 2010 to December 2014. In order to calculate the stock market return, there are two approaches being used which are Capital Asset Pricing Model (CAPM) and also Arbitrage Pricing Theory (APT). Both of the approaches being used to determine the stock market return by relate it with the macroeconomic factors that affect its return. It is essential to determine whether the microeconomic variables has positive or negative relationship with the stock market return in order to give the knowledge to the public like what will happen when there are uncertainty in investment. Methodology used for this study is by using Multiple Linear Regression with time series data sourced from DataStream. Thereafter, econometric tests are to be conducted to observe the relationship of the macroeconomic variables to the FBMKLCI. Interactive software package Eview 7 would be used for testing and analyzing the data collected. The study is an attempt to investigate the relationship of the chosen macroeconomic variables towards influencing stock index which is FBMKLCI. Findings from previous research papers mostly on developed markets indicate that macroeconomic variables do play a significant role in the determination of stock returns. The results of this research paper would provide an indicative view and could form an important basis for investors and policy makers in their investment strategies and policy decisions respectively. Faculty of Business and Management 2015-06 Student Project NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/21429/8/PPb_NOR%20HIDAYAH%20MAZLAN%20J%20BM15_5.pdf Mazlan, Nor Hidayah (2015) The determinants of stock market return (KLCI) in Malaysia / Nor Hidayah Mazlan. [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	Stock exchanges. Insider trading in securities Stock price indexes. Stock quotations
spellingShingle	Stock exchanges. Insider trading in securities Stock price indexes. Stock quotations Mazlan, Nor Hidayah The determinants of stock market return (KLCI) in Malaysia / Nor Hidayah Mazlan
description	This paper aims is finding out the effect of macroeconomic determinant on stock market performance in Malaysia. The study is focuses on stock index which is FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI). The macroeconomic variables considered are interest rate (3 month interbank rates), exchange rate, crude palm oil price, money supply (M2) and inflation rate. The sample of this study comprises of 60 observations each of the independent and dependent variables on a monthly basis over 5 years period from January 2010 to December 2014. In order to calculate the stock market return, there are two approaches being used which are Capital Asset Pricing Model (CAPM) and also Arbitrage Pricing Theory (APT). Both of the approaches being used to determine the stock market return by relate it with the macroeconomic factors that affect its return. It is essential to determine whether the microeconomic variables has positive or negative relationship with the stock market return in order to give the knowledge to the public like what will happen when there are uncertainty in investment. Methodology used for this study is by using Multiple Linear Regression with time series data sourced from DataStream. Thereafter, econometric tests are to be conducted to observe the relationship of the macroeconomic variables to the FBMKLCI. Interactive software package Eview 7 would be used for testing and analyzing the data collected. The study is an attempt to investigate the relationship of the chosen macroeconomic variables towards influencing stock index which is FBMKLCI. Findings from previous research papers mostly on developed markets indicate that macroeconomic variables do play a significant role in the determination of stock returns. The results of this research paper would provide an indicative view and could form an important basis for investors and policy makers in their investment strategies and policy decisions respectively.
format	Student Project
author	Mazlan, Nor Hidayah
author_facet	Mazlan, Nor Hidayah
author_sort	Mazlan, Nor Hidayah
title	The determinants of stock market return (KLCI) in Malaysia / Nor Hidayah Mazlan
title_short	The determinants of stock market return (KLCI) in Malaysia / Nor Hidayah Mazlan
title_full	The determinants of stock market return (KLCI) in Malaysia / Nor Hidayah Mazlan
title_fullStr	The determinants of stock market return (KLCI) in Malaysia / Nor Hidayah Mazlan
title_full_unstemmed	The determinants of stock market return (KLCI) in Malaysia / Nor Hidayah Mazlan
title_sort	determinants of stock market return (klci) in malaysia / nor hidayah mazlan
publisher	Faculty of Business and Management
publishDate	2015
url	http://ir.uitm.edu.my/id/eprint/21429/ http://ir.uitm.edu.my/id/eprint/21429/8/PPb_NOR%20HIDAYAH%20MAZLAN%20J%20BM15_5.pdf
first_indexed	2023-09-18T23:06:32Z
last_indexed	2023-09-18T23:06:32Z
_version_	1777418520646123520

The determinants of stock market return (KLCI) in Malaysia / Nor Hidayah Mazlan

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