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Macroeconomic variables and the Malaysian equity market
16 references·16 citing·38 second hopsampled
Macroeconomic variables and the Malaysian equity market (2003)Macroeconomic variables and the Malaysian…A vector error correction model of the Singapore stock market (2000)A vector error correction mod…The economics ofAccounting for Growth (1999)The economics ofAccounting fo…Cointegration and causality between macroeconomic variables and stock market returns (1999)Cointegration and causality b…International evidence on the stock market and aggregate economic activity (1998)International evidence on the…When Do Long-Run Identifying Restrictions Give Reliable Results? (1997)When Do Long-Run Identifying …DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)DYNAMIC RELATIONS BETWEEN MAC…International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)International stock market li…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…The Economics of Money, Banking and Financial Markets (1986)The Economics of Money, Banki…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Asymmetric effect of macroeconomic variables on the emerging stock indices: A quantile ARDL approach (2021)Asymmetric effect of macroeco…Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach (2019)Oil price shocks, global econ…The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis (2017)The Impact of Macroeconomic I…Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets (2015)Impact of Macroeconomic Varia…Determinants of Jordanian foreign direct investment inflows: Bounds testing approach (2015)Determinants of Jordanian for…Interdependence between Islamic capital market and money market: Evidence from Indonesia (2013)Interdependence between Islam…Co-integration and causality analysis between stock market prices and their determinates in Jordan (2013)Co-integration and causality …The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach (2012)The relationship between stoc…Macroeconomic Variables and Malaysian Islamic Stock Market: A Time Series Analysis (2012)Macroeconomic Variables and M…Macroeconomic Variables and Stock Market Returns: Full Information Maximum Likelihood Estimation (2011)Macroeconomic Variables and S…Macroeconomic factors and stock returns: Evidence from Taiwan (2011)Macroeconomic factors and sto…Macroeconomic determinants of Malaysian stock market (2009)Macroeconomic determinants of…Is the tourism‐led growth hypothesis stable for Malaysia? A note (2009)Is the tourism‐led growth hyp…EFFECT OF MACROECONOMIC VARIABLES ON STOCK MARKET RETURNS FOR FOUR EMERGING ECONOMIES: BRAZIL, RUSSIA, INDIA, AND CHINA (2008)EFFECT OF MACROECONOMIC VARIA…Macro and non-macro explanatory factors of Chinese hotel stock returns (2006)Macro and non-macro explanato…Economic variables and stock market returns: evidence from the Athens stock exchange (2006)Economic variables and stock …MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries (2002)Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Macroeconomics and Reality (1980)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Introductory Econometrics for Finance (2008)Critical Values for Cointegration Tests (2010)Asset Prices in an Exchange Economy (1978)Expected stock returns and volatility (1987)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Predictability of Stock Returns: Robustness and Economic Significance (1995)Toward a Comparative Institutional Analysis (2002)Beyond carbon pricing: The role of banking and monetary policy in financing the transition to a low-carbon economy (2016)What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Oil prices and the stock prices of alternative energy companies (2007)
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References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1986The Economics of Money, Banking and Financial Markets2,292 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1991Financial Investment Opportunities and the Macroeconomy844 cited
  • 1995DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL685 cited
  • 1993International stock market linkages: Evidence from the pre- and post-October 1987 period561 cited
  • 1997When Do Long-Run Identifying Restrictions Give Reliable Results?505 cited
  • 2000A vector error correction model of the Singapore stock market446 cited
  • 1999The economics ofAccounting for Growth401 cited
  • 1999Cointegration and causality between macroeconomic variables and stock market returns

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361 cited
  • 1998International evidence on the stock market and aggregate economic activity329 cited
  • Cited by

    • 2012The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach236 cited
    • 2015Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets161 cited
    • 2009Is the tourism‐led growth hypothesis stable for Malaysia? A note141 cited
    • 2009Macroeconomic determinants of Malaysian stock market138 cited
    • 2008EFFECT OF MACROECONOMIC VARIABLES ON STOCK MARKET RETURNS FOR FOUR EMERGING ECONOMIES: BRAZIL, RUSSIA, INDIA, AND CHINA126 cited
    • 2006Macro and non-macro explanatory factors of Chinese hotel stock returns120 cited
    • 2006Economic variables and stock market returns: evidence from the Athens stock exchange119 cited
    • 2011Macroeconomic factors and stock returns: Evidence from Taiwan114 cited
    • 2017The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis90 cited
    • 2013Interdependence between Islamic capital market and money market: Evidence from Indonesia83 cited
    • 2019Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach78 cited
    • 2021Asymmetric effect of macroeconomic variables on the emerging stock indices: A quantile ARDL approach77 cited
    • 2012Macroeconomic Variables and Malaysian Islamic Stock Market: A Time Series Analysis75 cited
    • 2013Co-integration and causality analysis between stock market prices and their determinates in Jordan74 cited
    • 2011Macroeconomic Variables and Stock Market Returns: Full Information Maximum Likelihood Estimation66 cited
    • 2015Determinants of Jordanian foreign direct investment inflows: Bounds testing approach66 cited