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

Author

Listed:
  • 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.)

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

Suggested Citation

  • Nurasyikin Jamaludin & Shahnaz Ismail & Syamimi Ab Manaf, 2017. "Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 37-45.
    • Handle: RePEc:eco:journ1:2017-01-07
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    References listed on IDEAS

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    Cited by:

    1. Huthaifa Alqaralleh & Ahmad Al-Majali & Abeer Alsarayrh, 2021. "Analyzing the Dynamics Between Macroeconomic Variables and the Stock Indexes of Emerging Markets, Using Non-linear Methods," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 193-204, May.
    2. Shahwahid, Muhammad & Masih, Mansur, 2018. "Macroeconomic determinants of islamic and conventional stocks: Malaysian evidence based on ARDL and NARDL approaches," MPRA Paper 114368, University Library of Munich, Germany.
    3. Endri Endri & Zaenal Abidin & Torang P. Simanjuntak & Immas Nurhayati, 2020. "Indonesian Stock Market Volatility: GARCH Model," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 16(2), pages 7-17.
    4. Ruqayya Aljifri, 2020. "The Macroeconomy, Oil and the Stock Market: A Multiple Equation Time Series Analysis of Saudi Arabia," Economics Discussion Papers em-dp2020-27, Department of Economics, University of Reading.
    5. Aiman, Muhammad & Masih, Mansur, 2018. "Impact of macroeconomic factors on shariah and conventional stocks: Malaysian evidence," MPRA Paper 111736, University Library of Munich, Germany.

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    More about this item

    Keywords

    Macroeconomic Variables; Stock Market Returns; ASEAN;
    All these keywords.

    JEL classification:

    • E03 - Macroeconomics and Monetary Economics - - General - - - Behavioral Macroeconomics
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • F62 - International Economics - - Economic Impacts of Globalization - - - Macroeconomic Impacts

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