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Kajian Impirikal : Impak Faktor-Faktor Ekonomi Ke Atas Indeks Komposit Bursa Saham Kuala Lumpur (KLCI)

Hashibah, Hamid (2002) Kajian Impirikal : Impak Faktor-Faktor Ekonomi Ke Atas Indeks Komposit Bursa Saham Kuala Lumpur (KLCI). Masters thesis, Universiti Utara Malaysia.

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Abstract

An economic climate is a major factor in determining the primary trend of a stock market. This study is conducted to examine empirically the impact of the economic factors such as interest, inflation, balance trade, total export and import, deficit balance of payment and national gross product on the Kuala Lumpur Stock Exchange Composite Index (KLCI). Another purpose of the study is to search the best alternative mathematical model to explain the movement of the KLCI using the multiple linear regression method. In order to get the best alternative model, the first step is by performing the transformation for every independent variable so that it will have the linear relationship with the dependenit variable, KLCI. Four methods of regression are using in determining the number of independent variable to be chosen which will make the largest contribution to the regression model. The problems such multicollinearity, heteroscedasticity and autocorrelation have been tested through variance inflation factor, figures and statistic Durbin-Watson. The final model can be considered as the best alternative model since such problems have been minimized and about 99.8% of the variation in the KLCI can be explained by four independent variables. Besides that, thus model has smaller standard error and mean square error much as compared to the other models that is 1.08E-06 and 1.347E-13. The significant economic factors that influence the KLCI movement include interest rate, inflation, total export, deficit balance of payment and the ratio between balance of payment and total export. 'The result of the study showed that, interest rate and inflation do significantly and negatively affected the KLCI.

Item Type: Thesis (Masters)
Uncontrolled Keywords: Multiple Linear Regression, KLSE Composite Index (KLCI), Shares, Economic Factors
Subjects: Q Science > QA Mathematics > QA273-280 Probabilities. Mathematical statistics
Divisions: Faculty and School System > Sekolah Siswazah
Depositing User: Mrs Hafiza Mohd Akhir
Date Deposited: 20 Oct 2009 02:00
Last Modified: 01 Oct 2019 08:49
URI: http://etd.uum.edu.my/id/eprint/513

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