KLSE composite index and macroeconomic fundamental dynamic interactions

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dc.contributor.authorYu, Teik Beng
dc.date.accessioned2014-09-05T02:25:56Z
dc.date.available2014-09-05T02:25:56Z
dc.date.issued2005-05
dc.description.abstractThis thesis employs Granger causality test to investigate causal relations and dynamic interactions among Malaysia’s macroeconomic variables and Kuala Lumpur Stock Exchange Composite Index (KLCI). This research investigates the possible causal relations for different economic conditions in Malaysia by using three hundred thirty six monthly data points from January 1977 to December 2004. The macroeconomic variables being investigated are industrial production index, consumer price index, money supply measured by M1, three month fix deposit rate, Treasury bill rate and foreign exchange. The findings show that normally market is efficient and KLCI is a leading indicator for Malaysia’s macroeconomic variables. However there are times when Efficient Market Hypothesis (EMH) is violated, i.e. the market is inefficient. When market is inefficient, past macroeconomic variables can better predict KLCI. From the findings, inefficient market normally happened during economic crisis that is when government intercepts the market to control the crisis from further deteriorate through either monetary or fiscal policies.en_US
dc.identifier.urihttp://hdl.handle.net/123456789/81
dc.language.isoenen_US
dc.subjectBusiness Administrationen_US
dc.subjectKLSE Composite Indexen_US
dc.subjectMacroeconomicen_US
dc.titleKLSE composite index and macroeconomic fundamental dynamic interactionsen_US
dc.typeThesisen_US
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