STUDY OF CONNECTION BETWEEN STOCK MARKET AND ECONOMIC PERFORMANCE IN MALAYSIAN CONTEXT

Authors

  • Ngee Derk Universiti Utara Malaysia, Sintok,

Keywords:

Stock Market, Economic Growth, Vector Autoregressive, Granger causality

Abstract

The focus of the study is to test the stock market performance influence on the economic growth for time series for the period of 2002 to 2018 on quarterly basis. In this study, the performance measures included standard deviation which is measure of volatility, total value traded shared as measure of liquidity, turnover ratio as measure of liquidity, and stock market capitalization ratio as a measure of the size. The focus of the study is the Malaysian stock exchange market. The study utilized real GDP as an indicator of economic growth. The exchange rate and the interest rates are used as control variables. The study used Vector Autoregressive model and the Granger causality test are utilized for finding the directional relationship between the stock market and economic growth connection. Results states that variables are statistically insignificant and there is no meaningful relationship found.

Published

2020-03-05 — Updated on 2020-06-22

Issue

Section

Articles