The Impact of Commodity Prices, Interest Rate and Exchange Rate on Stock Market Performance: An Empirical Analysis From Malaysia

Pengarang

  • Norhafiza Nordin School of Economics, Finance and Banking, UUM College of Business, Malaysia
  • Sabariah Nordin School of Economics, Finance and Banking UUM College of Business, Malaysia
  • Rusmawati Ismail School of Economics, Finance and Banking UUM College of Business, Malaysia

DOI:

https://doi.org/10.32890/mmj2014.18.4

Kata kunci:

Stock price behaviour, commodity prices, macroeconomic variables, bounds test

Abstrak

This paper examines the impact of commodity prices (palm oil price, oil price, and gold price), interest rate, and exchange rate on the Malaysian stock market performance. Employing the bounds test approach, the results of the study showed cointegrating relationships among variables. Specifically, the results revealed a significant influence of palm oil price on the stock market index. However, no significant influence was observed for both the oil price and gold price. Interest rate and exchange rate showed significant influences, which are consistent with past empirical studies. One important policy implication from this study is that the authorities should also pay attention to the effect of commodity prices, in addition to macroeconomic variables, in implementing relevant polices, as they may have a negative impact on the Malaysian stock market.

 

Muat turun

Muat turun data belum tersedia.

Rujukan

Abdul Hadi, A. R., Yahya, M. H., & Shaari,

A. H. (2009). The effect of oil price fluctuations on the Malaysian and Indonesian stock markets. Asian Journal of Business and Accounting, 2, 69-91.

Bekhet, H. A., & Mugableh, M. I. (2012). Investigating equilibrium relationship between macroeconomic variables and Malaysian stock market index through bounds tests approach. International Journal of Economics and Finance, 4(10), 69-81.

Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383-417.

Fama, E. F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 15751617.

Hamilton, J. D. (1983). Oil and the macro economy since World War II. Journal of Political Economics, 92(2), 228-248. Hussin, M. Y. M., Muhammad, F., Abu, M. F., &

Awang, S. A. (2012). Macroeconomic variables and Malaysian Islamic stock market: A time series analysis. Journal of Business Studies Quarterly, 3(4), 1-13.

Ibrahim, M. H., & Wan Yusoff, S. W. (2001). Macroeconomic variables, exchange rate and stock price: A Malaysian perspective. IIUM Journal of Economics and Management, 9, 141163.

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, 99-106. In this study, FBMKLCI was used as a proxy for stock market performance. The use of FBMKLCI as a proxy is identified as a limitation of this study. This is because FBMKLCI comprises the 100 largest firms listed on Bursa Malaysia. Therefore, the use of FBMKLCI might not be appropriate. Therefore, future research may consider using other indices to proxy the stock price performance. This could lead to another possible angle that could be explored for future research. It might be interesting for example, if future researchers could look into whether these variables have different effects on different sectors. In addition, it would also be great if further research can be carried out to explore the causality effect, specifically to investigate whether stock price movements cause changes in the commodity prices or the changes in commodity prices lead to stock price movements. In conclusion, this study indicated cointegrating relationships between interest rate, exchange rate, stock price performance, and each of the selected commodities. Thus, in pursuing the economic objectives, such as to achieve low inflation rate or full employment, the policy Lee, C. L., Boon, T. H., & Baharumshah,

A. Z. (2001). The stock market, macroeconomic fundamentals and economic growth in Malaysia. Asia Pacific Journal of Economics and Business, 5(2), 44-55.

MacDonald, R. & Ricci, L. (2003). Estimation of the Equilibrium real exchange rate for South Africa, IMF Working Paper WP/03/44.

Majid, M. S. A., & Yusof, R. M. (2009). Longrun relationship between Islamic stock returns and macroeconomic variables. Humanomics, 25(2), 127-141. Maysami, R. C., Howe, L. C., & 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, 24, 47-77.

Narayan, P. K. (2005). The saving and investment nexus for China: Evidence from cointegration tests. Applied Economics, 37, 1979-1990. Mohd Nasir, N., Hassan, N. M., Nasir, Z.

A., & Harun, M. F. M. (2012). Macroeconomic factors as the determinants of stock market return in Malaysia: Multivariate co-integration and causality analysis. Paper presented at the Terengganu International Business and Economics Conference 2012, Kuala Terengganu, Terengganu, Malaysia.

Muhammad, J., Ghuslan, M. I., & Jusoff, K. (2009). Long-run relationship between Malaysian stock market and agriculture sector. Interdisciplinary Journal of Contemporary Research in Business, 1(6), 157-171.

Patel, S. (2012). The effects of macroeconomic determinants on the performance of the Indian stock market. NMIMS Management Review, 22, 117-127.

Rahman, A. A., Sidek, N. Z. M., & Tafri, F. H. (2009). Macroeconomic determinants of Malaysian stock market. African Journal of Business Management, 3(3), 95-106.

Ross, S. A. (1976), The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13, 341-360.

Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21, 449-469.

Shrestha, M. B., & Chowdhury, K. (2005). ARDL modeling approach to testing the financial liberalization hypothesis. Economics Working Paper Series 2005, University of Wollongong. Valadkhani, A., Chancharat, S., & Havie,

C. (2009). Analysing the impact of international stock markets and macroeconomic variables on the thai stock market. The Business Review, Cambridge, 12(2), 50-56.

Wan Mahmood, M. W., & Dinniah, N. M. (2009). Stock returns and macroeconomics variables: Evidence from the six Asian-Pacific countries. International Research Journal of Finance and Economics, (30), 154-164.

Wang, M. L., Wang, C. P., & Huang, T. Y. (2010). Relationships among oil price, gold price, exchange rate, and international stock markets. International Research Journal of Finance and Economics, 47, 83-92.

Muat turun

Diterbitkan

2014-12-01

Terbitan

Jil. 18 (2014): Malaysian Management Journal (MMJ) Vol. 18, 2014

Bahagian

Articles

Cara Memetik

Nordin, N., Nordin, S., & Ismail, R. (2014). The Impact of Commodity Prices, Interest Rate and Exchange Rate on Stock Market Performance: An Empirical Analysis From Malaysia. Malaysian Management Journal, 18, 39-52. https://doi.org/10.32890/mmj2014.18.4

##plugins.generic.citations.panel.title##

##plugins.generic.citations.panel.harvested## 2026-09-07
0 ##plugins.generic.citations.panel.citationsNone##

##plugins.generic.citations.panel.body##

##plugins.generic.citations.panel.identifiers## DOI 10.32890/mmj2014.18.4