The Impact of Macroeconomic Variables on Stock Prices: A Case Study from FTSE Bursa Malaysia KLCI from 1994 until 2022
DOI:
https://doi.org/10.46754/umtjur.v7i1.542Keywords:
Undergraduate research, stock prices, macroeconomic variables, multiple linear regression, Ordinary Least Squares (OLS)Abstract
This study uses monthly historical data to analyse the effects of changes in selected macroeconomic variables on the stock prices of the FTSE Bursa Malaysia KLCI from 1994 to 2022. A multiple regression model employing Ordinary Least Squares (OLS) and the Granger Causality test are employed to study this relationship. Upon evaluating the estimated regression coefficients and corresponding t-statistics, the findings reveal changes in the prices of Brent Crude Oil (BC) futures. Meanwhile, the Currency Exchange Rates (CR) indicate a significantly positive influence on stock prices. In contrast, the rates of Gross Domestic Product (GDP), Interest Rates (IR), and Inflation Rates (CPI) do not significantly influence stock prices. Additionally, unidirectional Granger Causality is observed between stock prices, the rates of GDP, and the CR.
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