Stock Market and Economic Growth in Malaysia: Causality Test

Ee Chun Siong · Chai-Thing Tan

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

Stock market has been associated with economic growth through its role as source for new private capital. On the other hand, economic growth may be the catalyst for stock market growth. Thus, the purpose of this paper was to explore causal relationships between stock market and the economy using formal tests of causality developed by C. J. Granger and yearly Malaysia data for the period 1977-2006. Results show that stock market Granger-caused economic activity with no reverse causality observed. The longest significant lag length observed from the results was two years.

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 2003The Theory of Economic Development 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods 1996Stock Markets, Banks, and Economic Growth 1993Finance, entrepreneurship and growth 1999Stock Markets, Banks, and Economic Growth 1990Financial Development, Growth, and the Distribution of Income

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