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Monetary Policy, Inflation Rate, and Stock Market in Malaysia

Yeap, Sin Yean (2004) Monetary Policy, Inflation Rate, and Stock Market in Malaysia. Masters thesis, Universiti Utara Malaysia.

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Abstract

The purpose of this study is to examine the relationship between monetary policy, inflation rate, and stock market in Malaysia. The techniques used in this study are Unit Root test, Johansen's Cointegration test, Pairwise Granges Causality test, Multivariate VAR tests, Impulse Response, Variance Decomposition and Multivariate Error Correction Model (ECM) tests. Five variables used in this study are exchange rate, lending rate, consumer price, and aggregate money supply. Data will be collected monthly and the data will be divided into two periods. The first period will be from January 1980 until August 1998 representing the period before the government pegged the exchange rate. The second period will start from September 1998 until September 2003 representing the period after the government had pegged the exchange rate. The major findings are : (i) there exist a dynamic interaction between monetary policy, inflation rate and stock market in Malaysia, and (ii) there is a linkage between the variables and stock market before and after the government had pegged the exchange rate.

Item Type: Thesis (Masters)
Uncontrolled Keywords: Finance, Monetary Policy, Inflation Rate, Stock Market, Stock Exchange, Malaysia
Subjects: H Social Sciences > HG Finance
Divisions: Faculty and School System > Faculty of Economics
Depositing User: Mrs Hafiza Mohd Akhir
Date Deposited: 21 Feb 2010 03:51
Last Modified: 24 Jul 2013 12:12
URI: http://etd.uum.edu.my/id/eprint/1469

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