MACROECONOMIC VOLATILITY ON STOCK PRICES VOLATILITY DURING GLOBAL FINANCIAL CRISIS IN MALAYSIA

Abstract

This study examines the impact of macroeconomic volatility on the stock market volatility in Malaysia before and after the Global Financial Crisis (GFC). We attempt to examine the impact of GFC on the relationship between the volatility of macroeconomic and Malaysian stock market volatility. We find that none of the macroeconomic volatility would affect the stock market volatility in the pre-GFC period. Moreover, the volatility of crude oil price is positively and significantly affects the Malaysian stock market volatility during and post-GFC. This implies that Malaysian stock market is sensitive to the crude oil price volatility during and after GFC.