Title: Macroeconomic determinants of market performance: a comparative analysis of the stock markets of Mauritius and Malaysia

Authors: Harshana Kasseeah; Akshay Yashveer Ramkalawon

Addresses: Department of Economics and Statistics, University of Mauritius, Réduit, Moka, Mauritius ' Checkout.com, Ebene, Mauritius

Abstract: This study investigates the long-run impact of macroeconomic variables on the stock market performance of two upper middle-income economies, namely Mauritius and Malaysia, both emerging markets and of particular interest to investors. The study uses monthly data to assess and compare the long-run relationship between stock prices and selected macroeconomic variables comprising money supply, inflation, interest rate and exchange rate. Using cointegration techniques and a Vector Error Correction Model (VECM), the results obtained suggest that the selected macroeconomic variables significantly influence stock prices in both countries in the long-term, although the effect of the variables differs across Mauritius and Malaysia.

Keywords: stock; market; macroeconomic; performance; cointegration.

DOI: 10.1504/IJCM.2020.114150

International Journal of Comparative Management, 2020 Vol.3 No.4, pp.273 - 294

Received: 21 Aug 2020
Accepted: 20 Jan 2021

Published online: 27 Mar 2021 *

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