Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN Countries
This paper aims to examine the effect of macroeconomic variables namely inflation, money supply, and exchange rate on both conventional and Islamic stock market returns in the three selected ASEAN countries (Singapore, Malaysia, Indonesia) by utilising monthly data over the period of January 2005 t...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2017-01-01
|
| Series: | International Journal of Economics and Financial Issues |
| Online Access: | http://mail.econjournals.com/index.php/ijefi/article/view/3110 |
| _version_ | 1797911778167881728 |
|---|---|
| author | Nurasyikin Jamaludin Shahnaz Ismail Syamimi Ab Manaf |
| author_facet | Nurasyikin Jamaludin Shahnaz Ismail Syamimi Ab Manaf |
| author_sort | Nurasyikin Jamaludin |
| collection | DOAJ |
| description |
This paper aims to examine the effect of macroeconomic variables namely inflation, money supply, and exchange rate on both conventional and Islamic stock market returns in the three selected ASEAN countries (Singapore, Malaysia, Indonesia) by utilising 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 exchange rate and inflation rate. Money supply 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
JEL classifications: E03, E60, G10, G18, F62
|
| first_indexed | 2024-04-10T11:46:01Z |
| format | Article |
| id | doaj.art-3cd9b7ecc923419bb5565acb5d2e69a7 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T11:46:01Z |
| publishDate | 2017-01-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-3cd9b7ecc923419bb5565acb5d2e69a72023-02-15T16:17:21ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382017-01-0171Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN CountriesNurasyikin Jamaludin0Shahnaz IsmailSyamimi Ab ManafSchool of Maritime Business and Management, Universiti Malaysia Terengganu, 21030, Kuala Nerus, Terengganu, Malaysia. This paper aims to examine the effect of macroeconomic variables namely inflation, money supply, and exchange rate on both conventional and Islamic stock market returns in the three selected ASEAN countries (Singapore, Malaysia, Indonesia) by utilising 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 exchange rate and inflation rate. Money supply 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 JEL classifications: E03, E60, G10, G18, F62 http://mail.econjournals.com/index.php/ijefi/article/view/3110 |
| spellingShingle | Nurasyikin Jamaludin Shahnaz Ismail Syamimi Ab Manaf Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN Countries International Journal of Economics and Financial Issues |
| title | Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN Countries |
| title_full | Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN Countries |
| title_fullStr | Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN Countries |
| title_full_unstemmed | Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN Countries |
| title_short | Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN Countries |
| title_sort | macroeconomic variables and stock market returns panel analysis from selected asean countries |
| url | http://mail.econjournals.com/index.php/ijefi/article/view/3110 |
| work_keys_str_mv | AT nurasyikinjamaludin macroeconomicvariablesandstockmarketreturnspanelanalysisfromselectedaseancountries AT shahnazismail macroeconomicvariablesandstockmarketreturnspanelanalysisfromselectedaseancountries AT syamimiabmanaf macroeconomicvariablesandstockmarketreturnspanelanalysisfromselectedaseancountries |