Date of Award

1-1-2000

Thesis Type

Masters

Document Type

Thesis

Divisions

Faculty of Business and Economics

Department

-

Institution

Universiti Malaya

Abstract

Using the Pearson correlation analysis, factor analysis and regression analysis, this paper examines the impact of macroeconomic variables such as money supply, nominal interest rate, inflation, real activity and international reserves flow on the performance of the Kuala Lumpur Stock Exchange (KLSE). Pearson correlation analysis was used to determine the nature of the relationship between the macroeconomic variables and the Kuala Lumpur Composite Index (KLCI). Factor analysis was used to identify the subset of variables accounting for movement in the KLCI while regression analysis was used to determine the amount of the variation in the KLCI explained by the macroeconomic variables. The major findings of this study are: (1) there is a direct relationship between money supply, inflation, real activity and international reserves flow (2) there is an inverse relationship between the nominal interest rate and the KLCI but this inverse relationship was not significant (3) money supply, consumer price index and industrial production moves before the Kuala Lumpur Composite Index (KLCI) while nominal interest rate and international reserves flow moves after the KLCI changes (4) International reserves flow in itself explain 59% of the variation in the KLCI followed by industrial production index (58%).

Initial

snms

Additional Information

Dissertation (M.A) -- Faculty of Business and Economics, Universiti Malaya, 1999.

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