Impact of monetary policy on the stock market volatility: a GARCH-MIDAS approach in Malaysian economy
The volatility in the stock market plays an integral role in determining investment decisions. In emerging economies like Malaysia, this volatility in the stock market is determined by a number of monetary and fiscal factors. Monetary Policy, Money Supply, Inflation and Economic Growth all play a su...
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| Language: | English |
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Taylor & Francis Group
2025-12-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2025.2459183 |
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| author | Jingyang Zuo |
| author_facet | Jingyang Zuo |
| author_sort | Jingyang Zuo |
| collection | DOAJ |
| description | The volatility in the stock market plays an integral role in determining investment decisions. In emerging economies like Malaysia, this volatility in the stock market is determined by a number of monetary and fiscal factors. Monetary Policy, Money Supply, Inflation and Economic Growth all play a substantial role in shaping the stock market volatility. This particular study uses a GARCH-MIDAS model approach to understand the impact of these economic factors on stock market volatility. This particular model allows using both high-frequency data and low-frequency data in the same model. The research makes use of financial and stock market data and economic data from 2013 to 2023. Moreover, the findings suggest that monetary policy directly affects market volatility in the short run. However, in the long run, the monetary policy impacts the money supply within an economy. This money supply dictates the volatility within the stock market in such long terms. Moreover, factors such as economic development stabilise the volatility within such emerging markets. Based on the findings, countries like Malaysia should make a policy of gradual increase in the interest rates, because of the significant effect of shocks. |
| format | Article |
| id | doaj-art-fbb2b6ca7b43455b8de276e86b79871e |
| institution | Kabale University |
| issn | 2332-2039 |
| language | English |
| publishDate | 2025-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj-art-fbb2b6ca7b43455b8de276e86b79871e2025-02-05T04:27:14ZengTaylor & Francis GroupCogent Economics & Finance2332-20392025-12-0113110.1080/23322039.2025.2459183Impact of monetary policy on the stock market volatility: a GARCH-MIDAS approach in Malaysian economyJingyang Zuo0College of Art & Science, Vanderbilt University, Nashville, TN, USAThe volatility in the stock market plays an integral role in determining investment decisions. In emerging economies like Malaysia, this volatility in the stock market is determined by a number of monetary and fiscal factors. Monetary Policy, Money Supply, Inflation and Economic Growth all play a substantial role in shaping the stock market volatility. This particular study uses a GARCH-MIDAS model approach to understand the impact of these economic factors on stock market volatility. This particular model allows using both high-frequency data and low-frequency data in the same model. The research makes use of financial and stock market data and economic data from 2013 to 2023. Moreover, the findings suggest that monetary policy directly affects market volatility in the short run. However, in the long run, the monetary policy impacts the money supply within an economy. This money supply dictates the volatility within the stock market in such long terms. Moreover, factors such as economic development stabilise the volatility within such emerging markets. Based on the findings, countries like Malaysia should make a policy of gradual increase in the interest rates, because of the significant effect of shocks.https://www.tandfonline.com/doi/10.1080/23322039.2025.2459183GARCH-MIDAS modelMalaysian stock marketmonetary policystock market volatilityinvestment behaviourEconomics |
| spellingShingle | Jingyang Zuo Impact of monetary policy on the stock market volatility: a GARCH-MIDAS approach in Malaysian economy Cogent Economics & Finance GARCH-MIDAS model Malaysian stock market monetary policy stock market volatility investment behaviour Economics |
| title | Impact of monetary policy on the stock market volatility: a GARCH-MIDAS approach in Malaysian economy |
| title_full | Impact of monetary policy on the stock market volatility: a GARCH-MIDAS approach in Malaysian economy |
| title_fullStr | Impact of monetary policy on the stock market volatility: a GARCH-MIDAS approach in Malaysian economy |
| title_full_unstemmed | Impact of monetary policy on the stock market volatility: a GARCH-MIDAS approach in Malaysian economy |
| title_short | Impact of monetary policy on the stock market volatility: a GARCH-MIDAS approach in Malaysian economy |
| title_sort | impact of monetary policy on the stock market volatility a garch midas approach in malaysian economy |
| topic | GARCH-MIDAS model Malaysian stock market monetary policy stock market volatility investment behaviour Economics |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2025.2459183 |
| work_keys_str_mv | AT jingyangzuo impactofmonetarypolicyonthestockmarketvolatilityagarchmidasapproachinmalaysianeconomy |