摘要:宏观经济对股票市场是否有影响?本文就此展开分析,主要研究的是研究股票市场与宏观经济变量之间的关系,研究不仅对政策制定者和投资者非常有用,但它也能测试股票市场的效率。
in Malaysia also increase by 161.699
4.1.6 Hypothesis Selection
By looking at the result from the multiple regressions above, it can conclude that the result from statistical analysis can be accepted:
Hypothesis 1
H0: There is no significant relationship between GDP growth and property stock price.
Hypothesis 2
H1: There is significant relationship between interest rate and property stock price.
Hypothesis 3
H1: There is significant relationship between money supply (M3) and property stock price.
Hypothesis 4
H1: There is significant relationship between inflation (CPI) and property stock price.
SUMMARY
As a conclusion, its shows that three out of four of the macroeconomic variables have an influence on the property stock market index in Malaysia.
CHAPTER 5
CONCLUSION AND RECOMMENDATION
5.0 Conclusion
This research is conducted to discover the factor that can affect the Malaysia Property Index, which includes the relationship between the property stock market performance and the macroeconomic variables. GDP, interest rate, money supply and inflation rate are four independent variables which had been tested by using the multiple linear regression analysis.
In completing this research the limitation comes from the data collected since some of the data are not completed or available for this research. Other than that the limitation faced during this study was difficulty in finding the journal and articles to support the study as well as the time horizon covered is only from 2000 until 2010.
From the analysis, the result shows that there is a significant relationship between macroeconomic variables and property stock market performance in Malaysia but it is not strong enough. It can be seen through the value Anova and the R square is only 32.4%, it’s statically significant but in a weak level. While the adjusted R-squared indicates that about 30.2% of the variability of property index is accounted for by the model even after taking into account the number of independent variables in the model.
Furthermore from the observation of the four different macroeconomic variables coefficient of variation, It’s clearly indicates that there is a significant result because of the reject of the null hypothesis at 5% at significant level except for GDP. This result consistent with the previous study done by Prantik and Vina (2003), Kandir (2008), Tursay et al (2008), Adam and Tweneboah (2008), Mansor and Wan Sulaiman (2001) and Rahman et al (2009).
In this research, GDP seems to give insignificant result based on coefficient table. It maybe because of this research is using Industrial Production as a proxy of GDP monthly. But this research is actually followed the study Mansor and Wan Sulaiman (2001) that using IP as a proxy of GDP because of Malaysia is likely not releasing monthly GDP. Based on the previous study, many researchers found that GDP give a significant result towards stock market. In can be found at study of Morck et al (1999), Puah and Jayaraman (2007), Habibullah and Baharumshah (1996), as well as Mansor and Wan Sulaiman (2001). On the other hand this research follow the result found in study of Mehrara (2006), Tursoy et al (2008), and Agrawall
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