Unveiling Macroeconomic Drivers of Stock Market Performance in Malaysia: A Comprehensive Analysis
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Universiti Malaysia Sarawak (UNIMAS)
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This thesis investigates the macroeconomic determinants of stock market performance in Malaysia, focusing on the FSTE Bursa Malaysia (FBM KLCI). The study addresses the problem of understanding how key macroeconomic variables, crude oil prices, inflation (CPI), and money supply (M2), affect stock market performance. Utilizing a comprehensive econometric approach, including unit root tests, cointegration tests, Vector Error Correction Model (VECM), and Granger causality tests, the research analyses yearly data from 1998 to 2023. The results indicate significant long-term relationships between the stock market and the selected macroeconomic variables, with inflation, crude oil, and money supply showing a particularly strong impact. The findings contribute to the existing literature by providing insights into the dynamic interactions between macroeconomic factors and stock market behavior in an emerging market context. This study offers valuable implications for policymakers, investors, and researchers, emphasizing the importance of stable macroeconomic conditions for fostering a robust stock market.