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

An Empirical Investigation of the Dynamic Relations between Macroeconomic Factors and the Stock Markets of Malaysia and Thailand. RAMIN COOPER MAYSAMI & SIM HSIEN HUI. Jurnal Pengurusan 20 (2001).

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) analysis 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 which allows a making inferences to the short-run relationship between macroeconomic variables analyzed are interest rate, inflation, money supply, exchange rate and real activity. A dummy variable is included to capture the impact of the 1997 Asian 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 interpretation for the dependence of the stock indices on these variables as well as discussing the mechanism of the relationship.

Abstrak
Kertas ini menggunakan teknik model pembetulan ralat atau error-correction modeling technique (ECM) untuk memeriksa hubungan di antara pembolehubah makroekonomi dan pulangan saham di Malaysia dan Thailand. Kajian ini melanjutkan analisa di pasaran Jepun oleh Mukherje dan Naka (1995). Selain itu, kertas ini 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 samping pengubahsuaian jangka panjang menuju keseimbangan. Pembolehubah makroekonomi yang dianalisis ialah kadar faedah, inflasi, penawaran wang, kadar tukaran mata wang asing dan aktiviti sebenar. Pembolehubah patung juga dimasukkan bagi meninjau kesan krisis kewangan Asia pada tahun 1997. Keputusan yang diperolehi mengesahkan kewujudan hubungan tetapi jenis serta tahap hubungan tersebut berbeza-beza 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.