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hat unanticipated inflation was found to explained expected returns during periods of high volatility. Results of ARDL long run coefficients reveal that inflation is statistically insignificant in determining equity prices in long run.

However Ali, Rehman, Yilmaz, Khan and Afzal (2009) found no causal relationship was found between macro-economic indicators and stock exchange prices in Pakistan. Data from June 1990 to December 2008 have been used to analyze the relationship between various macro-economic variables and stock exchange prices. The set of macro-economic indicators including inflation cannot be used to predict stock prices moreover stock prices in Pakistan do not reflect the macro-economic condition of the country.

Prantik and Vani (2003) found that inflation rate has a positive relationship with the interest rate and hence should affect the stock market adversely. To cope up with the rising inflation retail investors and other big investors will tend to look towards the stock market to give their assets a decent real return based on their study.

Schwert (1989) found that macroeconomic volatility as measured by movements in inflation. For example the volatility of inflation rate during war periods is very high hence stock volatility increase during this period.

Cheng and Tan (2002) found beside the external factor which include the private consumption government expenditure, interest rate and money supply external factor also have a significant influence on Malaysian inflation. Saryal (2007) are using monthly data on the stock price indices of the Turkish stock market (ISE100 index), and the Consumer Price Index (CPI) are obtained from the Istanbul Stock Exchange database available from January 1986 to September 2005. The researcher found that the higher the rate of inflation, the greater the stock market volatility that is higher rates of inflation are coincident with greater stock market risk.

2.5 Summary

Studying the Malaysian context is important in order to provide a deeper understanding of this subject in enhancing a better decision making for the investor and academician. Previous study will help to establish a clear and better understanding on the topic. The study review base on previous research focusing on macroeconomic variables such money supply, inflation rate, GDP growth and interest rate with the performance of property stock market. The findings will enhance invest

CHAPTER 3

methodology AND DATA

3.0 Introduction

This chapter will explain the method and data as well as the procedure that will be use in this study. The data collection and method analyzing data are discussed in order to understand the relationship between variables used. The particular chapter focuses on the research methodology that had been used for this research including data collection, sampling frame, theoretical framework and so on .The objective of this study was to gather information on the stock market behaviors specifically in Malaysia. In order to determine the significant of variables the hypothesis will be taste to prove the relation. To achieve the above objectives, these studies use the monthly prices from property Index from 2000-2010.

3.1 Data Collection

This research basically based on secondary data which mean that data that are previously collected thro