摘要：The relationship between the volatility of stock market returns and macroeconomic volatilities has been a focus of many empirical studies. Many studies were conducted to examine this relationship based on the data from developed markets, and only few were carried out in the case of emerging market. Several methods have been used to measure volatility empirically. Recently, many studies have used conditional variance and GARCH models to estimate volatility. This paper examines the relationship between stock market returns volatility in Malaysia with five selected macroeconomic volatilities; GDP, inflation, exchange rate, interest rates, and money supply based on monthly data from January 2000 to June 2012. The volatility in this paper was estimated using GARCH(1,1) models, and the relationship between stock market volatility and macroeconomic volatilities has been examined using bi-variate and multivariate VAR Granger causality tests as well as through regression analysis. We found little support on the existence of the relationship between stock market volatility and macroeconomic volatilities. Only volatility in inflation was found to be Granger-caused stock market volatility, while out of five macroeconomic variables, only volatility in interest rates was found Granger-caused stock market volatility. The volatilities of macroeconomic variables as a group also does not Granger cause volatility in stock market returns. The result from regression analysis shows that only money supply volatility is significantly related to stock market volatility. The volatilities of macroeconomic variables as a group are also not significantly related to stock market volatility. The weak relationship between stock market volatility and macroeconomic volatilities is possible due to lack of institutional investors in the market, and may also indicate the existence of information asymmetry problem among investors.
关键词：Stock Market; Volatility; GARCH; VAR; Macroeconomic Variables; Malaysia
