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Table 3 The influence of macroeconomic variables and market volatility on the market return during 1995 general election

From: The effect of Malaysia general election on stock market returns

Variable

Day

15

30

60

90

Constant

0.01

−0.12

−0.24

−0.14

0.07

−0.64

−1.32

−0.59

Before (β 1)

0.38

0.46

0.53*

0.24

0.71

1.13

1.89

0.91

After (β 2)

0.25

0.40

0.47*

0.22

0.61

1.21

1.69

0.93

US stock market return

3.30

4.21

3.28

3.54

0.24

0.30

0.24

0.25

Inflation rate

−0.03

−0.02

−0.01

−0.02

−1.10

−0.89

−0.28

−0.63

Interest rate

–

–

–

–

–

–

–

–

Unemployment rate

–

–

–

–

–

–

–

–

Exchange rate

0.10

0.12

0.17

0.07

0.81

1.03

1.48

0.69

Gross domestic product

−0.03

−0.02

−0.02

−0.03

−1.23

−0.45

−0.60

−1.03

Market volatility

−0.29

−0.26

−0.26

−0.26

−0.73

−0.67

−0.67

−0.66

  1. Before and after are dummy variables to capture the impact of election effect on stock market return. The t-statistics are given in italic below the respective estimated coefficients
  2. * and ** Significant at 10 and 5% significance level respectively. The significance of the estimated β 1 and β 2 implies there is before-election-effect and after-election-effect respectively. Interest rate and unemployment rate data are unavailable for the year 1995 and so they are excluded in this estimation