UPSI Digital Repository (UDRep)
Start | FAQ | About
Menu Icon

QR Code Link :

Type :thesis
Subject :HB Economic Theory
Main Author :Mohd Kamarul Azriq Yusof
Title :Pengaruh faktor makroekonomi terpilih dan harga minyak mentah dunia terhadap pasaran saham mengikut sektor di Malaysia
Place of Production :Tanjong Malim
Publisher :Fakulti Pengurusan dan Ekonomi
Year of Publication :2018
Corporate Name :Universiti Pendidikan Sultan Idris
PDF Guest :Click to view PDF file

Abstract : Universiti Pendidikan Sultan Idris
Kajian   ini   bertujuan   untuk   menganalisis   pengaruh   faktor   pemboleh   ubah makroekonomi (kemeruapan kadar pertukaran asing, pulangan kadar  pertukaran asing dan kadar  inflasi) dan faktor harga minyak mentah dunia terhadap pulangan pasaran saham bagi sembilan sektor  terpilih di Malaysia. Kajian ini juga mengkaji pengaruh faktor luar jangkaan iaitu krisis ekonomi  dunia pada tahun 2008, terhadap pulangan pasaran saham di Malaysia. Dengan mengadaptasi Kaedah  Kuasa Dua Terkecil (KKDT) dalam pembentukan model penganggaran, data siri masa berfrekuensi bulanan  bermula September 2003 hingga November 2016 telah digunakan. Dapatan kajian menunjukkan bahawa  harga minyak mentah dunia memberi pengaruh yang berbeza merentasi sektor dan regim krisis dunia  yang dibentuk. Misalnya, pada regim sebelum krisis ekonomi dunia, harga minyak mentah dunia  memberikan pengaruh positif dan siginfikan terhadap sektor Perindustrian (   = .090, 

References

 

Adam, A. M., & Tweneboah, G. (2008). Macroeconomic factors and stock market

movement: evidence from Ghana. Munich Personal RePEc Archive (MPRA Paper), No. 11256.

 

 

Adaramola, A. O. (2012). Oil Price Shocks And Stock Market Behaviour: The Nigerian Experience. 

Journal of Economics, 3(1), 19-24.

 

 

Adler, M., & Dumas, B. (1984). Exposure To Currency Risk: Definition And Measurement. Financial 

management, 41-50

 

 

Aggarwal, R. (1981). Exchange Rates And Stock Prices: A Study Of The US Capital Markets Under 

Floating Exchange Rates. Akron Business and Economic Review, 12, 7-12

 

 

Aigbovo, O., & Izekor, A. O. (2015) Stock Market Development and Economic Growth in Nigeria: An 

Empirical Assessment.

 

 

Akomolafe, K. J., & Jonathan, D. D. (2014). Oil Price Dynamics and the Nigerian Stock Market: An 

Industry Level Analysis. International Journal, 3(6).

 

 

Aliyu, S. U. R. (2012). Does inflation have an impact on stock returns and volatility?

Evidence from Nigeria and Ghana. Applied financial economics, 22(6), 427-435.

 

 

Al-Sharkas, A. (2004). The Dynamic Relationship Between Macroeconomic Factors and the Jordanian 

stock market‟. International Journal of Applied Econometrics and Quantitative Studies. Volume 1-1.

 

 

Angabini,A.,&Wasiuzzaman,S.(2011). Garch Models and the Financial Crisis-A study of the Malaysian 

Stock Market. The International Journal of Applied Economics and Finance, 5(3), 226-236.

 

 

Arnold, H. (2014), Schumpeter and Methodological Individualism. Journal of Evolutionary Economics, 

14(2), 153-156.

 

 

Asmy, M., Rohilina, W., Hassama, A., & Fouad, M. (2009). Effects Of Macroeconomic Variables On 

Stock Prices In Malaysia: An Approach Of Error Correction Model.

 

 

Arouri, M. E. H., & Fouquau, J. (2009a). On The Short-Term Influence Of Oil Price Changes  On  

Stock  Markets  In  GCC  Countries:  Linear  And  Nonlinear

Analyses. arXiv preprint arXiv:0905.3870.

 

 

Arouri, M. E. H., & Fouquau, J. (2009b). How Do Oil Prices Affect Stock Returns In GCC  Markets?  

An  Asymmetric  Cointegration  Approach. Orleans  Economic

Laboratory, University of Orleans, Working Paper.

 

 

Bai, Z. (2014). Study on the Impact of Inflation on the  Stock  Market  in China. International 

Journal of Business and Social Science. Vol, 5.

 

 

Barakat, M. R., Elgazzar, S. H., & Hanafy, K. M. (2015). Impact of Macroeconomic Variables on Stock 

Markets: Evidence from Emerging Markets. International Journal of Economics and Finance, 8(1), 195.

 

 

Berk, I., & Aydogan, B. (2012). Crude Oil Price Shocks And Stock Returns: Evidence From Turkish 

Stock Market Under Global Liquidity Conditions (No. 12/15). EWI Working Paper.

 

 

Bodnar, G. M., & Wong, M. F. (2003). Estimating Exchange Rate Exposures: Issues In Model Structure. 

Financial Management, 35-67.

 

 

Broadstock, D. C., & Filis, G. (2014). Oil price shocks and stock market returns: New evidence from 

the United States and China. Journal of International Financial Markets, Institutions and Money, 

33, 417-433.

 

 

Caporale, G. M., Howells, P. G., & Soliman, A. M. (2004). Stock market development and economic 

growth: the  causal linkage. Journal of Economic Development, 29(1), 33-50.

 

 

Daferighe, C., & Charlie, S. S. (2012). The impact of inflation on stock market performance in 

Nigeria. American Journal of Social and Management Sciences, 3(2), 76-82.

 

 

Data     Market.     (2016).     Diperolehi     pada     20     Disember     2016     daripada 

https://datamarket.com/data/set/4gfx/real-broad-effective-exchange-rate-for- 

malaysia#!ds=4gfx&display=line

 

 

Ekmekcioglu, E. (2012). The macroeconomic effects of world crude oil price changes. International 

Journal of Business and Social Science, 3(6).

 

 

Emilda, H., Norimah, R., Mohd Kamarul, A. Y., & Siti Haslinda, A. A. (2016). An Application   of   

Heteroskedasticity   Testing   In   Economic    Growth Model. International Journal of Academic 

Research in Business and Social Sciences, 6(11), 16-23.

 

 

Estep, T. & Hanson, N. (1980). The valuation of financial assets in inflation. Salomon

Brothers, New York.

 

Exchange   Rates   UK.   (2016).   Diperolehi   pada   20   Disember   2016   daripada

http://www.exchangerates.org.uk/USD-MYR-exchange-rate-history-full.html

 

 

Falzon, J., & Castillo, D. (2013). The Impact of Oil Prices on Sectoral Equity Returns: Evidence 

from UK and US Stock Market Data. Journal of Financial Management, Markets and Institutions, 1(2), 

247-268.

 

 

Fama, E. F., & French, K. R. (2004). The capital asset pricing model: Theory and evidence. The 

Journal of Economic Perspectives, 18(3), 25-46.

 

 

Fattouh, B. (2007). The drivers of oil prices: the usefulness and limitations of non- structural 

model, the demand-supply framework and informal approaches(p. 32). Working Paper: Oxford Institute 

for Energy Studies.

 

 

Fuad Mohamed Berawi (2016). Ekonometrik Asas Panduan Penggunaan SAS. Universiti Utara Malaysia.

 

 

Gujrati, D.N. (2004). Basic Econometric, (4th Ed.). The McGraw-Hill Companies. New York.

 

 

Gujarati, D. N., & Porter D. C. (2009). Basic econometrics (5th Ed.). The McGraw-Hill Companies. 

New York.

 

 

Hakim, V. (2014). The effect of inflation on the stock market returns of the Nairobi Securities 

Exchange (Doctoral dissertation, University Of Nairobi).

 

 

Har, W. M., Ee, C. S., & Tan, C. T. (2008). Stock Market and Economic Growth in Malaysia: Casuality 

Test. Asian Social Science, 4(4), 86-92.

 

 

He, Y., & Zhao, J. (2003). Extreme dependence between crude oil and the stock markets in China: A 

sector investigation.

 

 

Historical Exchange Rates. (2016). Diperoleh pada 20 Disember 2016 daripada 

https://www.ofx.com/en-us/forex-news/historical-exchange-rates/

 

 

Hunjra, A. I., Chani, M. I., Ijaz, M. S., Farooq, M., & Khan, K. (2014). The Impact of 

Macroeconomic Variables on Stock Prices in Pakistan.

 

 

Husain, F., & Mahmood, T. (2001). The stock market and the economy in Pakistan. The Pakistan 

Development Review, 107-114.

 

 

Hussin, M. Y. M., & Muhammad, F. (2011). Analisis Perkembangan Bursa Malaysia

dan Pasaran Saham Islam di Malaysia. Sains Humanika, 56(1).

 

 

Ho, S. Y., & Odhiambo, N. M. (2012). Stock market development and economic growth in

Hong  Kong:  An  empirical  investigation. The  International  Business  &  Economics Research 

Journal (Online), 11(7), 795.

 

 

Ibrahim, M. H. (2008). The Exchange-Rate Exposure of Sectoral Stock Returns: Evidence From 

Malaysia. International Journal of Economic Perspectives, 2(2), 64.

 

 

Imdadullah, M. B. A., & Hayatabad, P. (2012). Impact Of Interest Rate, Exchange Rate And Inflation 

On Srock Returns Of Kse 100 Index. International Journal Economic, 142-155.

 

 

Index     Mundi.    (2016).    Diperolehi     pada     22    Disember    2016    daripada 

http://www.indexmundi.com/Commodities/?commodity=crudeoil&months=60& currency=myr

 

 

International Monetory Fund (IMF). (2016).   Diperolehi pada 25 Disember 2016 daripada 

http://www.imf.org/external/index.htm

 

 

Investing.com.     (2016).     Diperolehi     pada     22     Disember     2016     daripada 

http://www.investing.com/indices/ftse-malaysia-klci-historical-data

 

 

Iqbal, J., & Haider, A. (2005). Arbitrage Pricing Theory: Evidence From an Emerging Stock Market. 

The Lahore Journal of Economics, 10(1), 123-139.

 

 

Jafarian, A., & Safari, M. (2015). Impact of Oil Price Fluctuations on Returns of Different Sectors 

of Malaysian Stock Market. Journal of Modern Accounting and Auditing, 11(3), 159-167.

 

 

Jamil, M., & Ullah, N. (2013). Impact of foreign exchange rate on stock prices. Journal of Business 

and Management, 7(3), 45-51.

 

 

Janor, H., Halid, N., & Rahman, A. A. (2005). Stock market and economic activity in Malaysia. 

Investment Management and Financial Innovations, 4, 116-123.

 

 

Jawaid, S. T., & Haq, A. U. (2012). Effects of interest rate, exchange rate and their volatilities  

on  stock  prices:  evidence  from  banking   industry   of Pakistan. Theoretical and Applied 

Economics, 8(8), 153.

 

 

Kanas, A., & Ioannidis, C. (2010). Causality from real stock returns to real activity:

evidence    of    regime‐dependence. International    Journal    of    Finance    &

Economics, 15(2), 180-197.

 

Kang, W., Ratti, R. A., & Yoon, K. H. (2015). The impact of oil price shocks on the

stock market return and volatility relationship. Journal of International Financial Markets, 

Institutions and Money, 34, 41-54.

 

Kapusuzoglu, A. (2011). Relationships between oil price and stock market: An empirical analysis 

from Istanbul Stock Exchange (ISE). International Journal of Economics and Finance, 3(6), 99.

 

Kimani, D. K., & Mutuku, C. M. (2013). Inflation dynamics on the overall stock market performance: 

The case of Nairobi Securities Exchange in Kenya. Economics and Finance Review, 2(11), 1-11.

 

Khumalo, J. (2013). Inflation and stock prices interactions in South Africa: VAR analysis. 

International Journal of Economics and Finance Studies, 5(2), 23-34.

 

Kumar, P., Sorescu, S. M., Boehme, R., et el. (2006). Estimation Risk, Information and the 

Conditional CAPM: Theory and Evidence. Journal of Academic, 1-35.

 

 

Lake, A. E., & Katrakilidis, C. (2009). The Effects of the Increasing Oil Price Returns and its 

Volatility on Four Emerged Stock Markets. European Research Studies, 12(1), 149.

 

 

Li, L., Narayan, P. K., & Zheng, X. (2010). An analysis of inflation and stock returns for the UK. 

Journal Of International Financial Markets, Institutions And Money, 20(5), 519-532.

 

 

Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. The Journal of 

Finance, 20(4), 587-615.

 

 

Lv, X., Dong, W., & Fang, F. (2015). The Asymmetric Effects Of Official Interest Rate Changes On 

China’s Stock Market During Different Market Regimes. Emerging Markets Finance and Trade, 51(4), 

826-841.

 

 

Maghyereh, A. I. (2002). Causal Relations Among Stock Prices And Macroeconomic Variables In The 

Small, Open Economy Of Jordan.

 

 

Markowitz, H. M. (1959). Portfolio selection: efficient diversification of investments.

Yale University Press.

 

 

Masoud, N. M. (2013). The Impact of Stock Market Performance upon Economic

Growth. International Journal of Economics and Financial Issues,3(4), 788.

 

Maysami, R. C., Howe, L. C., and Hamzah, M. A. (2004). Relationship between

Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of 

Singapore’s All-S Sector Indices. Jurnal Pengurusan Vol. 24, pp. 47-77

 

 

Maysami, R., & Koh, T. S. (2000). A Vector Error Correction Model Of Singapore Stock Market. 

International Review of Economics and Finance, 9(1), 76-96.

 

 

Michael, A. (2014). The Inflation-Stock market returns Nexus: Evidence from the Ghana Stock 

Exchange. Journal of Economics and International Finance, 6(2), 38.

 

 

Mishra, S. (2015). An Econometric Investigation of Long and Short Run Relationship among Global 

Crude Oil Price, Exchange Rate and Stock Price in India: An ARDL-UECM Approach. Vilakshan: The XIMB 

Journal of Management, 12(2).

 

 

Mlambo, C., Maredza, A., & Sibanda, K. (2013). Effects of exchange rate volatility on the stock 

market: A case study of South Africa. Mediterranean Journal of Social Sciences, 4(14), 561.

 

 

Mohan, C., & Chitradevi, N. (2014) Impact of Inflation and Exchange Rate on Stock Market 

Performance in India. Indian Journal Of Applied Research. Volume : 4. Issue : 3.

 

 

Mohd. Anuar Hj. Md. Amin. (1998). Teori Ekonometrik. Dewan Bahasa dan Pustaka.

 

 

Mousa, S., N., Al safi, W., Hasoneh, A., B., & Abo-orabi, M., M. (2012). The Relationship Between 

Inflation And Stock Prices (A Case of JORDAN). IJRRAS. Vol 10, Issue1.

 

 

Muhammad, N., Rasheed, A., & Husain, F. (2002). Stock Prices and Exchange Rates: Are they Related? 

Evidence from South Asian Countries [with Comments]. The Pakistan Development Review, 535-550.

 

 

Nandha, M., & Brooks, R. (2009). Oil prices and transport sector returns: an international 

analysis. Review of Quantitative Finance and Accounting, 33(4), 393-409.

 

 

Ng, Z. J., & Sek, S. K. (2014, December). Spillover effects of oil price shocks across stock 

markets. In International Conference On Quantitative Sciences And Its Applications (ICOQSIA 2014): 

Proceedings of the 3rd International Conference on Quantitative Sciences and Its Applications (Vol. 

1635, No. 1, pp. 355-362).

AIP Publishing.

 

Niemira, M. P., & Klein, P. A. (1994). Forecasting Financial and Economic Cycles.

New York: John Wiley and Sons, Inc.

 

Nishat, M., & Shaheen, N. (2004). Macroeconomic factors and Pakistani equity market.

Department of Finance and Economics. Institute of Business Administration

Karachi.

 

Nor, A. H. S. M., Kogid, M., Sarmidi, T., & Isa, Z. (2012). Kesan kemeruapan kadar

pertukaran ke atas pasaran saham di Malaysia. Jurnal Ekonomi Malaysia, 46(2),

141-157.

 

Norimah, R. R., Emilda, H., Asmawi, H., Dayang, A. A. M. & Jan M. P.

(2017). Empirical Analysis On Exchange Rate Exposure And Sector Returns In

Malaysia. Jurnal Ekonomi Malaysia. Universiti Kebangsaan Malaysia (UKM)

 

Norimah, R. R., Emilda, H., & Dayang, A. A. M. (2016). The Effect of Foreign Direct

Investment, Exports and Employment on Economic Growth

Model. International Journal of Academic Research in Business and Social

Sciences, 6(11), 361-376.

 

Nowbutsing, B. M., & Odit, M. P. (2011). Stock market development and economic

growth: The case of Mauritius. International Business & Economics Research

Journal (IBER), 8(2).

 

Olufisayo, A. O. (2014). Oil Price and Stock Market: Empirical Evidence from

Nigeria. European Journal of Sustainable Development, 3(2), 33.

 

Olweny, T. O., & Kimani, D. (2011). Stock market performance and economic growth

Empirical Evidence from Kenya using Causality Test Approach. Advances in

Management & Applied Economics, 1(3), 153-196.

 

Omran, M., & Pointon, J. (2001). Does the inflation rate affect the performance of the

stock market? The case of Egypt. Emerging Markets Review, 2(3), 263-279.

 

Ono, S. (2011). Oil price shocks and stock markets in BRICs. The European Journal

of Comparative Economics, 8(1), 29-45.

 

Oskooe, S. A. P. (2011). Oil Price Shock And Stock Market In An Oil-Exporting

Country Evidence From Causality In Mean And Variance Test. In International

Conference On Applied Economics–ICOAE (p. 443).

 

Ozbay, E. (2009). The relationship between stock returns and macroeconomic factors:

evidence for Turkey. MSc degree dissertation. University of Exeter.

 

Ozturk, B. (2008). The Effects of Macroeconomic Factors on Istanbul Stock Exchange

National 100 Index and Its Volatility (1997-2006). Thesis, Istanbul Technical

University (in Turkish).

 

Pan, M. S., Fok, R. C. W. & Liu, Y. A. (2007). Dynamic linkages between exchange

rates and stock prices: evidence from East Asian markets. International Review

of Economics and Finance. 16: 503-520.

 

Paramati, S. R., & Gupta, R. (2013). An empirical analysis of stock market performance

and economic growth: Evidence from India. International Research Journal of

Finance and Economics, ISSN, 1450-2887.

 

Patel, P. J., Patel, N. J., & Patel, A. R. (2014). Factors affecting Currency Exchange

Rate, Economical Formulas and Prediction Models. International Journal of

Application or Innovation in Engineering & Management (IJAIEM). Retrieved

from: http://www. ijaiem. org/volume3issue3/IJAIEM-2014-03-05-013. pdf.

 

Patrick, H.T., Wai, U. (1973), Stock and Bond Issues and Capital Markets in Less

Developed Countries. International Monetary Fund, Staff Papers, World Bank,

Washington, D.C.

 

Polit, D. F., & Beck, C. T. (2004). Nursing research: Principles and methods.

Lippincott Williams & Wilkins.

 

Rahman, A. A., Sidek, N. Z. M., & Tafri, F. H. (2009). Macroeconomic determinants

of Malaysian stock market. African Journal of Business Management, 3(3), 95.

 

Ramasamy, R., & Abar, S. K. (2015). Influence of Macroeconomic Variables on

Exchange Rates. Journal of Economics, Business Management, 3(2).

 

Rasiah, D., Ying, T. L., & Solarin, S. A. (2016). Economic freedom index and stock

returns in Malaysia. Theoretical and Applied Economics, 23(1 (606), Spring),

213-236.

 

Ratti, R. A., & Hasan, M. Z. (2013). Oil price shocks and volatility in Australian stock

returns. Economic Record, 89(S1), 67-83.

 

Reddy, D. L. (2012). Impact of inflation and GDP on stock market returns in

India. International journal of advanced research in management and social

sciences, 1(6).

 

Sabitha, M. (2005). Kaedah Penyelidikan Sains Sosial. Petaling Jaya: Prentice Hall.

 

 

Sahu, T. N., & Mondal, D. (2015). Crude Oil Price, Exchange Rate and Emerging Stock

Market: Evidence from India. Jurnal Pengurusan, 42, 75-87.

 

Sekaran, U., & Bougie, R. (Eds.) (2013). Research Methods for Business A Skill

BuildingApproach. United Kingdom: John Wiley & Sons Ltd

 

Sekmen, F. (2011). Exchange rate volatility and stock returns for the US. African

Journal of Business Management, 5(22), 9659.

 

Shafi K., Hua L., Idrees Z., & Nazeer A. (2015). Oil prices & stock market: Evidence

from KSE & BSE. American Journal of Business, Economics and Management,

3(2): 40-44.

 

Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under

conditions of risk. The journal of finance, 19(3), 425-442.

 

Taulbee, N. (2005). Influences on the stock market: An examination of the effect of

economic variables on the S&P 500. The Park Place Economist, 9, 91-100.

 

Tranding Economic. (2016). Diperolehi pada 25 Disember 2016 daripada

https://tradingeconomics.com/malaysia/indicators

 

Tursoy, T., Gunsel, T., & Rjoub, H. (2008). Macroeconomic Factors, the APT and the

Istanbul Stock Market. International Research Journal of Finance and 56

Economics, Issue 22

 

Twarowska, K., & Kakol, M. (2014). Analysis of Factors Affecting Fluctuations in the

Exchange Rate of Polish Zloty Against Euro. In Human Capital without Borders:

Knowledge and Learning for Quality of Life; Proceedings of the Management,

Knowledge and Learning International Conference 2014 (pp. 889-896).

ToKnowPress.

 

Umer, U. M., Sevil, G., & Kamişli, S. (2015). The Dynamic Linkages between

Exchange Rates and Stock Prices: Evidence from Emerging Markets. Journal of

Finance and Investment Analysis, 4(3).

 

Wu, Y. (2000). Stock Prices and Exchange Rates in a VEC Model--The Case of

Singapore in the 1990s. Journal of Economics and Finance, Volume 24 Number

3 Pages 260-274.

 

Yaakop, M. R. M. (2009). Isu Pemisahan Singapura-Malaysia: Rasional Keselamatan

Politik. Jebat: Malaysian Journal of History, Politics and Strategic Studies, 36,

62-89

 

Yan, L. (2012). Analysis Of The International Oil Price Fluctuations And Its

Influencing Factors. American Journal of Industrial and Business Management,

2012, 2, 39-46.

 

Zubair, A. (2013). Causal Relationship between Stock Market Index and Exchange

Rate: Evidence from Nigeria. CBN Journal of Applied Statistics, Vol. 4 No.2.

 

 

 

 


This material may be protected under Copyright Act which governs the making of photocopies or reproductions of copyrighted materials.
You may use the digitized material for private study, scholarship, or research.

Back to previous page

Installed and configured by Bahagian Automasi, Perpustakaan Tuanku Bainun, Universiti Pendidikan Sultan Idris
If you have enquiries, kindly contact us at pustakasys@upsi.edu.my or 016-3630263. Office hours only.