An Empirical Investigation of the Dynamic Relations between Macroeconomic Factors and the Stock Markets of Malaysia and Thailand

Ramin Cooper Maysami, Sim Hsien Hui

Abstract


This paper employs the Error-Correction Modeling technique to examine the relationship between macroeconomics variables and the stock returns of Malaysia and Thailand. The study extends Mukherje and Naka's (1995) analyszs of the Japanese market. In addition, the article expands the results obtained by Maysami and Koh (2000) through the employment of Hendry's (1986) approach whzch allows making inferences to the short-run relationship between macroeconomic variables as well as the long-run adjustment to equilibrium. The macroeconomic varzables analyzed are interest rate, inflation, money supply, exchange rate and real activity. A dummy variable IS included to capture the Impact of the 1997 Aszan financial crisis. The results confirm the existence of such relationships, but type and magnitude of the associations seem to differ depending on the country's financial structure. The paper presents the economic interpretatzonfor the dependence of the stock indices on these variables as well as discussing the mechanism of the relationship.


ABSTRAK
Kertas tru menggunakan teknik model pembetulan ralat atau error-correction modeling technique (ECM) untuk memeriksa hubung an di antara pembolehubah makroekonomt dan pulangan saham di Malaysza dan Thailand. Kajian ini melanjutkan analisa di pasaran Jepun oleh Mukherje dan Naka (1995). Selain itu, kertas tni mengembangkan keputusan yang diperolehi oleh Maysami dan Koh (2000) melalui pengguna pendekatan Hendry (1986) yang membenarkan takbiran dibuat terhadap hubungan jangka pendek di antara pembolehubah makroekonomi di sampzng pengubahsuaian jangka panjang menuju keseimbangan. Pemholehubah makroekonomi yang dianalisis ialah kadar faedah, inflasi, penawaran wang, kadar tukaran mata wang aszng dan aktivtti sebenar. Pembolehubah patung juga dimasukkan bagi meninjau kesan krisis kewangan Asza pada tahun 1997. Keputusan yang diperolehi mengesahkan kewujudan hubungan tetapi jenis serta tahap hubungan tersebut berbeta-beta bergantung kepada struktur kewangan negara yang dikaji. Kertas ini membentangkan interpretasi ekonomi terhadap penggantungan indeks saham kepada pembolehubah-pembolehubah berkenaan di samping membincangkan mekanisma hubungan tersebut


Full Text:

PDF

Refbacks

  • There are currently no refbacks.


DISCLAIMER

The editors and publisher of Jurnal Pengurusan have made every possible effort to verify the accuracy of all information contained in this publication. Any opinions, discussions, views and recommendations expressed in the article are solely those of the authors and are not of Jurnal Pengurusan, its editors or its publisher. Jurnal Pengurusan, its editors and its publisher will not be liable for any direct, indirect, consequential, special, exemplary, or other damages arising therefrom.