Macroeconomic Determinants of FTSE KLCI Volatility: Evidence from 2006 to 2023

Authors

  • Evawaynie Valquis Md Isa Department of Business, Faculty of Business & Communication, Universiti Malaysia Perlis
  • Md. Aminul Islam College of Business Administration, Prince Mohammad Bin Fahd University, Al-Khobar, Saudi Arabia
  • Aliana Shazmir Amir Amir Department of Business, Faculty of Business & Communication, Universiti Malaysia Perlis

DOI:

https://doi.org/10.17687/mb27gx87

Keywords:

Gross Domestic Products, Consumer Price Index, Consumer Confidence Index

Abstract

This study examines the impact of key macroeconomic variables: Gross Domestic Product (GDP), Consumer Price Index (CPI), and Consumer Confidence Index (CCI) on the volatility of the FTSE Bursa Malaysia Kuala Lumpur Composite Index (FTSE KLCI) from 2006 to 2023. As Malaysia shifts towards a more market-driven financial system, understanding how economic fundamentals influence market behavior is essential. Using a random-effects panel regression model, the study analyses 16 years of data. Results show that GDP and CPI significantly affect FTSE KLCI volatility, indicating that real economic activity and inflation are major drivers of investor responses. CCI, though significant at the 10% level (marginal effect), also influences market fluctuations during uncertain periods. These findings support the semi-strong form of the Efficient Market Hypothesis (EMH), suggesting the market reflects available economic information. The study offers valuable insights for policymakers and investors aiming to understand and manage volatility in Malaysia’s emerging capital market.

Author Biographies

  • Md. Aminul Islam, College of Business Administration, Prince Mohammad Bin Fahd University, Al-Khobar, Saudi Arabia

    Dr. Md. Aminul Islam is a Full Professor of Research at the Department of Finance, College of Business Administration, Prince Mohammad Bin Fahad University, Saudi Arabia. His research spans the fields of Finance, Accounting, and Entrepreneurship, with current projects focusing on FinTech, Sukuk, Islamic Banking, and Entrepreneurial Development. Dr. Islam is actively engaged in advancing scholarship in higher education and contributing to the development of innovative financial practices within the Islamic finance framework.

  • Aliana Shazmir Amir Amir, Department of Business, Faculty of Business & Communication, Universiti Malaysia Perlis

    Dr. Aliana Shazma Amir Binti Amir is a Senior Lecturer at Universiti Malaysia Perlis (UniMAP), specializing in Accounting. She holds a Ph.D. in Accounting and a Master of Science in International Accounting from Universiti Utara Malaysia (UUM), along with a Bachelor of Accountancy (Hons) and Diploma in Accountancy from Universiti Teknologi MARA (UiTM). Her research interests include Financial Reporting, Fintech, Corporate Governance, Ownership Structures, Earnings Management, Auditing, Compliance, and Islamic Accounting. Dr. Aliana is committed to advancing the fields of Accounting and Finance through both impactful research and dedicated teaching, with a strong focus on ethical and Islamic accounting practices.

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Published

30-09-2025

Issue

Vol. 13 No. 2 (2025): JEB SEPTEMBER 2025

Section

Articles

How to Cite

Macroeconomic Determinants of FTSE KLCI Volatility: Evidence from 2006 to 2023. (2025). Journal of Entrepreneurship and Business, 13(2), 148-161. https://doi.org/10.17687/mb27gx87

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