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The impact of macroeconomic variables on stock prices: a case study from FTSE Bursa Malaysia KLCI from 1994 until 2022


Citation

Wong, Jun Yin and Ibrahim, Siti Nur Iqmal and Mohamed Ali, Nazihah and Che Ilias, Iszuanie Syafidza (2025) The impact of macroeconomic variables on stock prices: a case study from FTSE Bursa Malaysia KLCI from 1994 until 2022. Universiti Malaysia Terengganu Journal of Undergraduate Research, 7 (1). pp. 83-100. ISSN 2637-1138

Abstract

This study uses monthly historical data to analyse the effects of changes in selected macroeconomic variables on the stock prices of the FTSE Bursa Malaysia KLCI from 1994 to 2022. A multiple regression model employing Ordinary Least Squares (OLS) and the Granger Causality test are employed to study this relationship. Upon evaluating the estimated regression coefficients and corresponding t-statistics, the findings reveal changes in the prices of Brent Crude Oil (BC) futures. Meanwhile, the Currency Exchange Rates (CR) indicate a significantly positive influence on stock prices. In contrast, the rates of Gross Domestic Product (GDP), Interest Rates (IR), and Inflation Rates (CPI) do not significantly influence stock prices. Additionally, unidirectional Granger Causality is observed between stock prices, the rates of GDP, and the CR.


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Additional Metadata

Item Type: Article
Subject: Economics
Subject: Finance
Subject: Statistics
Divisions: Faculty of Science
Institute for Mathematical Research
DOI Number: https://doi.org/10.46754/umtjur.v7i1.542
Publisher: Penerbit UMT, Universiti Malaysia Terengganu
Keywords: Undergraduate research; Stock prices; Macroeconomic variables; Multiple linear regression; Ordinary Least Squares (OLS)
Sustainable Development Goals (SDGs): SDG 8: Decent Work and Economic Growth, SDG 9: Industry, Innovation and Infrastructure, SDG 10: Reduced Inequalities
Depositing User: Ms. Nur Faseha Mohd Kadim
Date Deposited: 29 Jun 2026 08:29
Last Modified: 29 Jun 2026 08:29
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.46754/umtjur.v7i1.542
URI: http://psasir.upm.edu.my/id/eprint/126681
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