Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices

The relationship between macroeconomic variables and stock market returns is, by now, well-documented in the literature. However, a void in the literature relates to examining the cointegration between macroeconomic variables and stock market’s sector indices rather than the composite index. Thus in...

Full description

Bibliographic Details
Main Authors:	Ramin Cooper Maysami, Lee, Chuin Howe, Mohamad Atkin Hamzah
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2005
Online Access:	http://journalarticle.ukm.my/1762/ http://journalarticle.ukm.my/1762/ http://journalarticle.ukm.my/1762/1/Jp24-03.pdf

id	ukm-1762
recordtype	eprints
spelling	ukm-17622016-12-14T06:30:11Z http://journalarticle.ukm.my/1762/ Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices Ramin Cooper Maysami, Lee, Chuin Howe Mohamad Atkin Hamzah, The relationship between macroeconomic variables and stock market returns is, by now, well-documented in the literature. However, a void in the literature relates to examining the cointegration between macroeconomic variables and stock market’s sector indices rather than the composite index. Thus in this paper we examine the long-term equilibrium relationships between selected macroeconomic variables and the Singapore stock market index (STI), as well as with various Singapore Exchange Sector indices—the finance index, the property index, and the hotel index. The study concludes that the Singapore’s stock market and the property index form cointegrating relationship with changes in the short and long-term interest rates, industrial production, price levels, exchange rate and money supply. Implications of the study and suggestions for future research are provided Penerbit Universiti Kebangsaan Malaysia 2005-07 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/1762/1/Jp24-03.pdf Ramin Cooper Maysami, and Lee, Chuin Howe and Mohamad Atkin Hamzah, (2005) Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices. Jurnal Pengurusan, 24 . pp. 47-77. ISSN 0127-2713 http://www.ukm.my/penerbit/jurus.htm
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	The relationship between macroeconomic variables and stock market returns is, by now, well-documented in the literature. However, a void in the literature relates to examining the cointegration between macroeconomic variables and stock market’s sector indices rather than the composite index. Thus in this paper we examine the long-term equilibrium relationships between selected macroeconomic variables and the Singapore stock market index (STI), as well as with various Singapore Exchange Sector indices—the finance index, the property index, and the hotel index. The study concludes that the Singapore’s stock market and the property index form cointegrating relationship with changes in the short and long-term interest rates, industrial production, price levels, exchange rate and money supply. Implications of the study and suggestions for future research are provided
format	Article
author	Ramin Cooper Maysami, Lee, Chuin Howe Mohamad Atkin Hamzah,
spellingShingle	Ramin Cooper Maysami, Lee, Chuin Howe Mohamad Atkin Hamzah, Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices
author_facet	Ramin Cooper Maysami, Lee, Chuin Howe Mohamad Atkin Hamzah,
author_sort	Ramin Cooper Maysami,
title	Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices
title_short	Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices
title_full	Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices
title_fullStr	Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices
title_full_unstemmed	Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices
title_sort	relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of singapore’s all-s sector indices
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2005
url	http://journalarticle.ukm.my/1762/ http://journalarticle.ukm.my/1762/ http://journalarticle.ukm.my/1762/1/Jp24-03.pdf
first_indexed	2023-09-18T19:34:15Z
last_indexed	2023-09-18T19:34:15Z
_version_	1777405165053149184

Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices

Similar Items