The Impact of Macroeconomic Variables on Firm's Performance: Evidence from Malaysian GLC
| dc.contributor.author | Mohd Noh, Azemi | |
| dc.date.accessioned | 2016-10-07T08:00:18Z | |
| dc.date.available | 2016-10-07T08:00:18Z | |
| dc.date.issued | 2009 | |
| dc.description.abstract | This study investigates the effects of macroeconomic factors on GLC share price returns m Malaysia. The performance of the share price was largely attributed to the GLC Transformation Program launched by the government. To examine the impact of the macroeconomic variables on the share price, we developed a simple model based on the Arbitrage Pricing Theory by Ross (1976). By applying the techniques of cointegration, Error Correction Model and Granger causality, we examine the short run dynamics and long run equilibrium relationship between G-20 Index and the four selected macroeconomic variables of real output, price level, money supply and interest rate using monthly data from 1988 to 2008. The data was examined in two periods; whole sample period and a second sample period of up to 1997 before the Asian Financial Crisis. The results suggest that the share price and the macroeconomic variables are cointegrated and there was evidence of long run relationships in the periods under study. Through the Error Correction Model we found that the short run adjustments were from different channels in different periods of study. Finally we examined the short run Granger causality to look at the causal relationship among the variables. We found that in the whole sample period only the past information on interest rate may be used to predict the share price and in the second sample no information from any of the macroeconomic variables may be used to predict share price. | en_US |
| dc.identifier.uri | http://hdl.handle.net/123456789/2698 | |
| dc.subject | The Impact ofMacro~conomic Variables | en_US |
| dc.subject | on Firm's Performance: | en_US |
| dc.title | The Impact of Macroeconomic Variables on Firm's Performance: Evidence from Malaysian GLC | en_US |
| dc.type | Thesis | en_US |
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