Abstract
This paper investigated the impact of macroeconomic variables in the stock market in Malaysia from the period 1981 to 2017 using annual data. The inflation rate, exchange rate, broad money and domestic saving are the selected macroeconomic variables that were chosen in this study. The study implemented Autoregressive Distributed Lag (ARDL) estimation to investigate the short-run and long-run elasticities of the proposed model. The results from the Augmented Dickey-Fuller and Phillips-Perron tests of stationarity indicated that all the variables were non-stationary at a level I (o) but stationary at the first difference I (1). The finding based on long-run elasticities reveals that inflation and exchange rate is significant and positively influenced stock market in Malaysia. Meanwhile, domestic saving and broad money have a negative impact on the stock market in the long run.
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