Review of the Literatures on Stock Price Behavior of Malaysia
Keywords:
Stock Price Behavior, Efficient Market Hypothesis, Economic Variables
Abstract
Stock price behavior is one of the core concerns of researchers and finance scholars from more than a half-century of years. Most of the times, they have tried to identify unexplored anomalies that could be used to explain stock price movement in the different stock market. As a result, we have found different models and theories relating to stock price behavior as well as the efficiency of the stock market. Malaysian stock market is considered the second among the largest South East Asian stock markets according to its domestic market capitalization. A considerable number of researches have already been done on the stock price behavior of Malaysian stock market. This study reviews the existing literatures on the stock price behavior of Malaysian stock markets within two wings, literatures on efficient market hypothesis of Malaysian market and the effect of economic and financial variables on the stock price.
References
Aisyah Abdul Rahman, Noor Zahirah Mohd Sidek, F. H. T. (2009). Macroeconomic determinants of Malaysian stock market. African Journal of Business Management, 1 (2)(3), 119–127.
Ameer R (2007). Influence of Macroeconomic Factors on Bond and Equity Issues in Malaysia. 3(1):93-116.
Bekhet, H. A., & Mugableh, M. I. (2012). Investigating equilibrium relationship between macroeconomic variables and Malaysian stock market index through bounds tests approach. International Journal of Economics and Finance, 4(10), 69–81. http://doi.org/10.5539/ijef.v4n10p69
Binti Hazlina Kadir, A., Selamat, Z., Masuga, T., & Taudi, R. (2011). Predictability Power of Interest Rate and Exchange Rate Volatility on Stock Market Return and Volatility : Evidence from Bursa Malaysia. International Conference on Economics and Finance Research, 4, 199–202.
Bol, V. S. A. (2001). Market Efficiency in the Kuala Lumpur Stock Exchange: Further Evidence Using Garch Model. Unpublished Master thesis, Faculty of Economics and Management, Universiti Putra Malaysia, Malaysia.
Cheong, C. W. and Isa, Z. (2007). Tests of Random Walk Hypothesis Under Drift and Structural Break - A Nonparametric Approach. World Applied Sciences Journal, 2(6): 674- 681
Cheong, C. W. (2008). A Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural Break. American Journal of Applied Sciences, 5(10): 1291- 1295. DOI: http://dx.doi.org/10.3844/ajassp.2008.1 291.1295
Fadhil Mh, Azizan N. (2011). The interaction between Macroeconomic Variables and the Performance of Mutual Fund in Malaysia. MFA 9th Conference-12th & 13th June 2007. Retrieved January 11, 2011.
H.Ibrahim, M., & Sulaiman, W. (2001). Macroeconomic Variables , Exchange Rate and Stock Price : a Malaysian Perspective. IIUM Journal of Economics and Management, 9(2), 141–164. http://doi.org/10.1108/01443580310455241
Hawati, J., Ruzita, R., Hasimi, Y., & Izani, I. (2010). Stock Returns and Inflation with Supply and Demand Shocks : Evidence from Malaysia. Jurnal Ekonomi Malaysia, 44, 3–10.
Hussin, M. Y., Muhammad, F., Abu, M. F., & Awang, S. A. (2012). Macroeconomic Variables and Malaysian Islamic Stock Market : A Time Series Analysis. Journal of Business Studies Quarterly, 3(4), 1–13.
Ibrahim, M. (1999). Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis. Asian Economic Journal. http://doi.org/10.1111/1467-8381.00082
Ibrahim, M. H. (2000), Cointegration and Granger Causality Tests of Stock Price and Exchange Rate interactions in Malaysia, Asian Economic Bulletin, 17(1): 36–46.
Ibrahim, M. H., & Aziz, H. (2003). Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples. Journal of Economic Studies, 30(1), 6–27. http://doi.org/10.1108/01443580310455241
Janor, H., Halid, N., & Abdul Rahman, A. (2005). Stock market and economic activity in Malaysia. Investment Management and Financial Innovations, 2(4), 116–123.
Maheran, N., Muhammad, N. and Rahman, N. M. N. A. (2010). Efficient Market Hypothesis and Market Anomaly: Evidence from Day-of-the Week Effect of Malaysian Exchange. International Journal of Economics and Finance, 2(2): 35-42.
Mohamed Asmy, Wisam Rohilina, Aris Hassama, M. F. (2009). Effects of Macroeconomic Variables on Stock Prices in Malaysia: An Approach of Error Correction Model, (35423). http://doi.org/10.5897/JAERD12.088
Mugableh, M. I. (2011). Macroeconomic Indicators and the Malaysian Capital Market: Time-Series Analysis Mohamed, 1–14.
Mun, H. W., Ee, C. S., & Tan, C. T. (2008). Stock Market and Economic Growth in Malaysia : Causality Test. Asian Social Science, 4(4), 86–92. http://doi.org/10.5539/ass.v4n4p86
Norshamshina Mat Isa, Azrul Abdullah, Z. H. (2012). Relationship between Macroeconomic Variables and Malaysia Available Shariah Indices, (68964).
Rahman, A. A., Sidek, N. Z. M., & Tafri, F. H. (2009). Macroeconomic determinants of Malaysian stock market. African Journal of Business Management, 3(3), 95–106.
Rahman, M. S. (2013). Relationship among GDP, Per Capita GDP, Literacy Rate and Unemployment Rate. British Journal of Arts and Social Sciences, 14(2), 169–177.
Rasiah, R. R. V. (2010). Macroeconomic Activity And The Malaysian Stock Market: Empirical Evidence Of Dynamic Relations. The International Journal of Business and Finance Research, 4(2), 59–70.
Rosylin, M. Y., & M.Shabri, A. M. (2006). Macroeconomic Variables and Stock Returns in the Post 1997 Financial Crisis : An Application of the ARDL Model. The 6th Global Conference on Business & Economics, 15(17), 1–10.
Senthilnathan, S. (2015). The Efficient Market: Rambling Evidences in Asia and Pacific. Elk Asia Pacific Journal of Marketing and Retail Management, 6(4), 1–18. https://doi.org/10.16962/eapjmrm/issn.2349-2317/2014
Zukarnain, Z., & Shamsuddin, S. (2012). Empirical Evidence on the Relationship between Stock Market Volatility and Macroeconomics Volatility in, 4(2), 61–71.
Ameer R (2007). Influence of Macroeconomic Factors on Bond and Equity Issues in Malaysia. 3(1):93-116.
Bekhet, H. A., & Mugableh, M. I. (2012). Investigating equilibrium relationship between macroeconomic variables and Malaysian stock market index through bounds tests approach. International Journal of Economics and Finance, 4(10), 69–81. http://doi.org/10.5539/ijef.v4n10p69
Binti Hazlina Kadir, A., Selamat, Z., Masuga, T., & Taudi, R. (2011). Predictability Power of Interest Rate and Exchange Rate Volatility on Stock Market Return and Volatility : Evidence from Bursa Malaysia. International Conference on Economics and Finance Research, 4, 199–202.
Bol, V. S. A. (2001). Market Efficiency in the Kuala Lumpur Stock Exchange: Further Evidence Using Garch Model. Unpublished Master thesis, Faculty of Economics and Management, Universiti Putra Malaysia, Malaysia.
Cheong, C. W. and Isa, Z. (2007). Tests of Random Walk Hypothesis Under Drift and Structural Break - A Nonparametric Approach. World Applied Sciences Journal, 2(6): 674- 681
Cheong, C. W. (2008). A Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural Break. American Journal of Applied Sciences, 5(10): 1291- 1295. DOI: http://dx.doi.org/10.3844/ajassp.2008.1 291.1295
Fadhil Mh, Azizan N. (2011). The interaction between Macroeconomic Variables and the Performance of Mutual Fund in Malaysia. MFA 9th Conference-12th & 13th June 2007. Retrieved January 11, 2011.
H.Ibrahim, M., & Sulaiman, W. (2001). Macroeconomic Variables , Exchange Rate and Stock Price : a Malaysian Perspective. IIUM Journal of Economics and Management, 9(2), 141–164. http://doi.org/10.1108/01443580310455241
Hawati, J., Ruzita, R., Hasimi, Y., & Izani, I. (2010). Stock Returns and Inflation with Supply and Demand Shocks : Evidence from Malaysia. Jurnal Ekonomi Malaysia, 44, 3–10.
Hussin, M. Y., Muhammad, F., Abu, M. F., & Awang, S. A. (2012). Macroeconomic Variables and Malaysian Islamic Stock Market : A Time Series Analysis. Journal of Business Studies Quarterly, 3(4), 1–13.
Ibrahim, M. (1999). Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis. Asian Economic Journal. http://doi.org/10.1111/1467-8381.00082
Ibrahim, M. H. (2000), Cointegration and Granger Causality Tests of Stock Price and Exchange Rate interactions in Malaysia, Asian Economic Bulletin, 17(1): 36–46.
Ibrahim, M. H., & Aziz, H. (2003). Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples. Journal of Economic Studies, 30(1), 6–27. http://doi.org/10.1108/01443580310455241
Janor, H., Halid, N., & Abdul Rahman, A. (2005). Stock market and economic activity in Malaysia. Investment Management and Financial Innovations, 2(4), 116–123.
Maheran, N., Muhammad, N. and Rahman, N. M. N. A. (2010). Efficient Market Hypothesis and Market Anomaly: Evidence from Day-of-the Week Effect of Malaysian Exchange. International Journal of Economics and Finance, 2(2): 35-42.
Mohamed Asmy, Wisam Rohilina, Aris Hassama, M. F. (2009). Effects of Macroeconomic Variables on Stock Prices in Malaysia: An Approach of Error Correction Model, (35423). http://doi.org/10.5897/JAERD12.088
Mugableh, M. I. (2011). Macroeconomic Indicators and the Malaysian Capital Market: Time-Series Analysis Mohamed, 1–14.
Mun, H. W., Ee, C. S., & Tan, C. T. (2008). Stock Market and Economic Growth in Malaysia : Causality Test. Asian Social Science, 4(4), 86–92. http://doi.org/10.5539/ass.v4n4p86
Norshamshina Mat Isa, Azrul Abdullah, Z. H. (2012). Relationship between Macroeconomic Variables and Malaysia Available Shariah Indices, (68964).
Rahman, A. A., Sidek, N. Z. M., & Tafri, F. H. (2009). Macroeconomic determinants of Malaysian stock market. African Journal of Business Management, 3(3), 95–106.
Rahman, M. S. (2013). Relationship among GDP, Per Capita GDP, Literacy Rate and Unemployment Rate. British Journal of Arts and Social Sciences, 14(2), 169–177.
Rasiah, R. R. V. (2010). Macroeconomic Activity And The Malaysian Stock Market: Empirical Evidence Of Dynamic Relations. The International Journal of Business and Finance Research, 4(2), 59–70.
Rosylin, M. Y., & M.Shabri, A. M. (2006). Macroeconomic Variables and Stock Returns in the Post 1997 Financial Crisis : An Application of the ARDL Model. The 6th Global Conference on Business & Economics, 15(17), 1–10.
Senthilnathan, S. (2015). The Efficient Market: Rambling Evidences in Asia and Pacific. Elk Asia Pacific Journal of Marketing and Retail Management, 6(4), 1–18. https://doi.org/10.16962/eapjmrm/issn.2349-2317/2014
Zukarnain, Z., & Shamsuddin, S. (2012). Empirical Evidence on the Relationship between Stock Market Volatility and Macroeconomics Volatility in, 4(2), 61–71.
Published
2018-12-19
How to Cite
Ruhani, F., Islam, M. A., & Ahmad, T. S. T. (2018). Review of the Literatures on Stock Price Behavior of Malaysia. International Journal of Islamic Business & Management, 2(2), 32-38. https://doi.org/10.46281/ijibm.v2i2.219
Section
Research Paper/Theoretical Paper/Review Paper/Short Communication Paper
Copyright (c) 2018 Fatima Ruhani, Md. Aminul Islam, Tunku Salha Tunku Ahmad
This work is licensed under a Creative Commons Attribution 4.0 International License.
