An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand

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 obta...

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Main Authors:	Ramin Cooper Maysami, Sim, Hsein Hui
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2001
Online Access:	http://journalarticle.ukm.my/1750/ http://journalarticle.ukm.my/1750/ http://journalarticle.ukm.my/1750/1/1468-2755-1-SM.pdf

id	ukm-1750
recordtype	eprints
spelling	ukm-17502016-12-14T06:30:09Z http://journalarticle.ukm.my/1750/ An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand Ramin Cooper Maysami, Sim, Hsein Hui 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 Penerbit Universiti Kebangsaan Malaysia 2001-07 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/1750/1/1468-2755-1-SM.pdf Ramin Cooper Maysami, and Sim, Hsein Hui (2001) An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand. Jurnal Pengurusan, 20 . ISSN 0127-2713 http://www.ukm.my/penerbit/jurus.htm
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	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
format	Article
author	Ramin Cooper Maysami, Sim, Hsein Hui
spellingShingle	Ramin Cooper Maysami, Sim, Hsein Hui An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand
author_facet	Ramin Cooper Maysami, Sim, Hsein Hui
author_sort	Ramin Cooper Maysami,
title	An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand
title_short	An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand
title_full	An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand
title_fullStr	An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand
title_full_unstemmed	An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand
title_sort	empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of malaysia and thailand
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2001
url	http://journalarticle.ukm.my/1750/ http://journalarticle.ukm.my/1750/ http://journalarticle.ukm.my/1750/1/1468-2755-1-SM.pdf
first_indexed	2023-09-18T19:34:14Z
last_indexed	2023-09-18T19:34:14Z
_version_	1777405163262181376

An empirical investigation of the dynamic relations between macroeconomic factors and the stock markets of Malaysia and Thailand

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