The Effect of Money Supply, Exchange Rate, and Interest Spread toward the Performance of Stock Market in Malaysia

WIDYAKALA JOURNAL Pub Date : 2019-09-27 DOI:10.36262/widyakala.v6i2.217

Y. Qing, Suhal Kusairi

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引用次数: 8

Abstract

The stock market has become a significant role in the economy and has attracted investor's attention, as it is to generate funds and make an investment decision for companies and investors as well. Therefore, the objective of this study is to study the effect of the money supply, exchange rate, interest spread and stock market in the short and long run and volatility issue. The study employed monthly data, from January 1997 to August 2018. Method analysis is the Autoregressive distributed lag (ARDL) and GARCH model. The findings stated that the money supply, real effective exchange rate, interest spread, had a long-run effect on the performance of the stock market. Money supply and the real effective exchange rate had a positive effect on the stock market performance in the short run. Conversely, the interest spread showed a negative influent on the stock market performance in the short run. The volatility indicated a high persistence between the money supply, real effective exchange rate, interest spread and stock market (KLCI). The implication of the study is the investors or policymakers should take account the changes of interest rate and exchange rate before making stock investment or policy to stabilize the stock market performance.Keywords: Performance, Money Supply, Real Effective Exchange Rate (REER), Interest Spread

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货币供给、汇率和利差对马来西亚股市表现的影响

股票市场已经成为经济中的重要角色，吸引了投资者的关注，因为它为公司和投资者创造资金并做出投资决策。因此，本研究的目的是研究货币供应量、汇率、利差和股票市场在短期和长期的影响以及波动性问题。该研究采用了1997年1月至2018年8月的月度数据。分析方法是自回归分布滞后(ARDL)和GARCH模型。研究结果表明，货币供应量、实际有效汇率、利差对股市表现有长期影响。货币供应量和实际有效汇率在短期内对股市表现有正向影响。相反，利差在短期内对股市表现表现出负面影响。波动性表明货币供应量、实际有效汇率、息差和股票市场(KLCI)之间具有较高的持久性。本研究的含义是投资者或政策制定者在进行股票投资或制定政策时应考虑到利率和汇率的变化，以稳定股票市场的表现。关键词:绩效、货币供给、实际有效汇率、利差

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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WIDYAKALA JOURNAL

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