Inflation is one indicator of economic growth and development in determining economic condition of a country. It also becomes an issue instock market as well. Therefore, the uncertainty of inflation probably would create fluctuation in stock market particularly in future. This paper investigates the impact of inflation on stock market performance in Malaysia using time series data for the period of 20 years from 1960 to 2012. The series are tested using unit root test-Augmented Dickey Fuller Test (ADF) and Philip Perron test (PP) to determine the stationary of the data used. Meanwhile, co-integration test is used to indicate the long-run relationship between inflation and stock market performance accordingly. The parameter involved in the series is the various measures of stock market performance, market capitalization (MC), and turnover ratio of stock traded (ST).
