Causal relationship between the volatility of stock market and selected macroeconomic variables: case of Malaysia

QR Code

Causal relationship between the volatility of stock market and selected macroeconomic variables: case of Malaysia

This study examines the dynamic relationship between the volatility of stock market and macroeconomics’ volatility in Malaysia during the period of February 1991 to February 2013. For this purpose, monthly data on the KLCI stock index and a set of macroeconomic variables are used. Firstly, in orde...

Full description

Bibliographic Details
Main Authors:	Lida Nikmanesh, Abu Hassan Shaari Md Nor, Tamat Sarmidi, Hawati Janor
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2014
Online Access:	http://journalarticle.ukm.my/8412/ http://journalarticle.ukm.my/8412/1/jeko_48%281%29-12.pdf

Similar Items

Return and volatility spillovers between the US, Japanese and Malaysian stock markets
by: Lida Nikmanesh,, et al.
Published: (2014)

Macroeconomic Determinants Of Stock Market Volatility: An Empirical Study Of Malaysia And Indonesia
by: Nikmanesh, Lida, et al.
Published: (2016)

Relationship between stock market volatility and macroeconomic variables volatility in Malaysia
by: Chia, Mong Yin, et al.
Published: (2013)

Causal relationship between stock market returns and macroeconomic variables in Nigeria
by: Ali, Umar Ahmad, et al.
Published: (2015)

Dynamic Causal Analysis between the Stock Market and Macroeconomic Variables in the USA
by: Chung, Rhys
Published: (2021)

Granger Causality Between The Stock Market Index and Macroeconomic Variables. A Study of Malaysia and Singapore
by: Sircar, Shadee Mosaddek
Published: (2009)

The relationship between stock market volatility and macroeconomics volatility in Malaysia / Mohammad Izzat Azahar
by: Azahar, Mohammad Izzat
Published: (2015)

The Relationship between Macroeconomic Variables and Stock Market Performance in Thailand
by: Lee, Yeow Keat, et al.
Published: (2017)

The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets
by: Abduh, Muhamad, et al.
Published: (2013)

The impact of macroeconomic variables on the Indonesian stock market volatility: conventional vis-a-vis Islamic stock market
by: Surur, Miftaskhus, et al.
Published: (2012)

Relationship between stock market and macroeconomic variables / Syazwani Ezzaty Zafrin
by: Zafrin, Syazwani Ezzaty
Published: (2015)

The relationship between selected macroeconomic variables towards stock market in Malaysia / Nurdiyana Mohd Shah
by: Mohd Shah, Nurdiyana
Published: (2017)

The relationship between macroeconomic variables and stock prices
by: Goh, Lee Hua, et al.
Published: (2013)

Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration
by: Hakimah Nur Ahmad Hamidi,, et al.
Published: (2018)

Influences Of Macroeconomic Variables On The Malaysian Stock Market
by: Mei, Cheng Mei
Published: (2005)

Macroeconomics Variables and the Stock Market : The Case of Russia
by: Yelyubayev, Talgat
Published: (2011)

Macroeconomic Variables Influence on Stock Market Performance
by: Norazidah, Shamsudin, et al.
Published: (2021)

Financial Integration And International Asset Pricing Of Asean-5 Stock Markets: The Pricing Of Global, Regional And Currency Risk
by: Janor, Hawati
Published: (2009)

The impact of macroeconomic variables on the stock market performance in Japan
by: Yip, Jia Shen, et al.
Published: (2014)

The co-movement between exchange rates and stock prices in an emerging market
by: Syajarul Imna Mohd Amin,, et al.
Published: (2016)

The relationship between macroeconomics variables towards Malaysian stock market / Nurul Ashiqin Mohd Hatta
by: Mohd Hatta, Nurul Ashiqin
Published: (2018)

Macroeconomic, Commodity and Real Estate Determinants of China Stock Market Volatility
by: Low, Jze Tieng
Published: (2011)

Causal Relations Between Macroeconomic Factors and Vietnamese Stock Market Returns: A Johansen Cointegration Test
by: Nguyen, The Huy
Published: (2018)

Market Volatility and Macroeconomic Factors
by: Gao, Kang
Published: (2012)

Macroeconomic Variables and Stock Returns: Empirical Evidence from Nigerian Stock Market
by: Adenike, Azeez Aminat
Published: (2009)

The relationship between macroeconomic variables towards Islamic stock market in Malaysia / Nurul Ain Ali Mokhtar
by: Ali Mokhtar, Nurul Ain
Published: (2017)

Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices
by: Ramin Cooper Maysami,, et al.
Published: (2005)

The Causal Relationship Between Stock Markets: Awavelet Transform-Based Approach
by: Ahmed Dghais, Amel Abdoullah
Published: (2016)

The Effects of Macroeconomic Variables on Stock Market Returns in Developing Markets: The Case of Indonesia
by: Sunarso, Nydia Angelina
Published: (2015)

Empirical Test of Macroeconomic Variables and Stock Market Returns in Asian Emerging Market
by: Selamat, Zarehan
Published: (2001)

Dynamic Linkages of Asian Emerging Stock Markets: An Analysis of the Pre- and Post-liberalization Era
by: Sarmidi, Tamat
Published: (1998)

Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach
by: Lavi, Evan Wiranata
Published: (2017)

The Effects of Macroeconomic Variables on Stock Market in China: The Case of CSI 300
by: YAO, Jiaming
Published: (2019)

The Impact of Macroeconomic Variables on Overall and Segmented Stock Market Returns in China
by: HU, YING
Published: (2020)

Impact of macroeconomic variables on stock market development: Evidence from Malaysia
by: Yong, Shin Ying, et al.
Published: (2013)

The review of stock returns and macroeconomic variables
by: Ali, Umar Ahmad, et al.
Published: (2015)

The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
by: Phang, Chee Kong
Published: (2006)

The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
by: Phang, Chee Kong
Published: (2006)

The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
by: Phang, Chee Kong
Published: (2006)

The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
by: Phang, Chee Kong
Published: (2006)