The Effect of Gross Domestic Product, Interest Rates and Inflation on Malaysian Stock Market Performance (1981-2020): The Moderation Role of Treasury Bonds
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Universiti Malaysia Sarawak (UNIMAS)
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This research investigates how treasury bonds influence the link between macroeconomic variables and stock market performance in Malaysia from 1981 to 2020. The main variables include gross domestic product (GDP), real interest rates, and inflation (CPI), with the FTSE Bursa Malaysia KLCI as the stock market indicator. The study applies the Arbitrage Pricing Theory and Modern Portfolio Theory as the theoretical base. Using time series data and the ARDL model, the analysis shows that treasury bonds help reduce the negative effects of economic shocks on the stock market. The results also show that bonds act as a stabilizing tool during periods of inflation or financial stress. The findings offer useful guidance for investors to build safer portfolios and for policymakers to improve economic planning. This study supports the role of treasury bonds as a key element in both financial decision-making and market stability.