Nowadays, overseas investors, academics, and researchers have paid increased attention to investigating capital markets and economies, especially the largest among the association of Southeast Asian countries. Indeed, the economies and capital markets of these countries have provided several attractive investment prospects to domestic and foreign investors. Hence, the main purpose of this work is to investigate equilibrium relationships and causality directions between macroeconomic variables and the Malaysian stock market index. Employing equilibrium time-series approach (i.e., the Auto regressive Distributed Lag Approach), the current manuscript analyses the long-run and short-run relationships between the Malaysian capital market index and macroeconomic indicators, namely - gross domestic product, producer price index, consumer price index, exchange rates, broadest money supply, foreign direct investment inflows, deposit interest rates, and gross domestic savings. The examinedtime-series variables are available on an annual basis for the (1977-2012) period.
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