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(2009) shown that the Malaysian stock market is sensitive to changes in the macroeconomic variables. The researcher used vector error correction model with the data range from January 1986 to March 2008. Its show the changes in Malaysian stock market index with changes in money supply and interest rate contribute significantly to the co-integrating relationship.

Morck, Yeung and Yu (1999) has argued that stock prices move together more in poor economies than in rich economies. The researchers found that stock prices in economies with high per capita gross domestic product (GDP) move in a relatively unsynchronized manner. In contrast, stock prices in low per capita GDP economies tend to move up or down together. A time series of stock price for the U.S. market as a develop economy while China, Malaysia and Poland are the emerging market.

Habibullah and Baharumshah (1996) urged that that Malaysia’s stock market is have a relationship to money supply as well as output (GDP). They used monthly data on stock price indices, with money supply and output were employed in this study. The stock price indexes used in this study are Composite, Industrial, Finance, Property, Plantation and Tin. For money supply the researchers used both M1 and M2, and output is measured by real Gross Domestic Product (GDP). The results suggest that Malaysia’s stock market is significantly efficient with respect to money supply as well as output.

2.1 GDP growth

The study on GDP growth influence property stock market performance importance for the researcher to know the relationship between the total production of Malaysia and the property stock market. There are several researcher has done this kind of research and found the significant finding.

According to Morck et al (1999) stock prices move together more in poor economies than in rich economies. The researchers found that stock prices in economies with high per capita gross domestic product (GDP) have a different move with low per capita GDP. A time series of stock price for the U.S. market as a develop economy while China, Malaysia and Poland are the emerging market.

Puah and Jayaraman (2007) analyzed Fiji stock prices index which is elastic with respect to real output. The researcher used Granger causality test indicates that changes in past values in real output could be used to predict the future movement of the stock prices.

Despite of giving significant result, Tursoy et al (2008) with their paper has examined the effect 13 macroeconomic variables including the variables that will be use in this study on the portfolios return results. The researchers indicate that macroeconomic factors have not significant effect on stock returns in Istanbul Stock Exchange (ISE). The researchers believe it may affect different industry in different manner by macroeconomic variables.

2.2 Interest rate

When talking about the interest rate, there are many researcher has done this before. According to Tursoy et al (2008), the regression that has been done resulting that there is no significant pricing relation between the stock return and the interest rate.

Maysami, Hamzah and Howe (2004) found that Singapore stock market and the SES All-S Equities Property Index formed significant relationships with all macroeconomic variables identified including interest rate. The researchers t