Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach.

This paper will employ the Johansen (1991) model to examine the relationship between the stock indices of six Pacific Rim countries (U.S., Japan, Singapore, Hong Kong, Korea, Indonesia and Malaysia) and their respective macroeconomic variables. The results of the Johansen (1991) test for cointegrati...

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Main Author:	Liu, Ve Kiong.
Other Authors:	Maysami, Ramin Cooper
Format:	Final Year Project
Published:	2008
Subjects:	DRNTU::Business::Finance::Equity
Online Access:	http://hdl.handle.net/10356/10866
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Institution:	Nanyang Technological University

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spelling	sg-ntu-dr.10356-108662023-05-19T05:45:00Z Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach. Liu, Ve Kiong. Maysami, Ramin Cooper Nanyang Business School DRNTU::Business::Finance::Equity This paper will employ the Johansen (1991) model to examine the relationship between the stock indices of six Pacific Rim countries (U.S., Japan, Singapore, Hong Kong, Korea, Indonesia and Malaysia) and their respective macroeconomic variables. The results of the Johansen (1991) test for cointegration proves the existence of a cointegrating relationship between stock returns and their macroeconomic variables for all the countries in the study. 2008-09-24T07:48:26Z 2008-09-24T07:48:26Z 1999 1999 Final Year Project (FYP) http://hdl.handle.net/10356/10866 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::Finance::Equity
spellingShingle	DRNTU::Business::Finance::Equity Liu, Ve Kiong. Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach.
description	This paper will employ the Johansen (1991) model to examine the relationship between the stock indices of six Pacific Rim countries (U.S., Japan, Singapore, Hong Kong, Korea, Indonesia and Malaysia) and their respective macroeconomic variables. The results of the Johansen (1991) test for cointegration proves the existence of a cointegrating relationship between stock returns and their macroeconomic variables for all the countries in the study.
author2	Maysami, Ramin Cooper
author_facet	Maysami, Ramin Cooper Liu, Ve Kiong.
format	Final Year Project
author	Liu, Ve Kiong.
author_sort	Liu, Ve Kiong.
title	Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach.
title_short	Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach.
title_full	Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach.
title_fullStr	Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach.
title_full_unstemmed	Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach.
title_sort	macroeconomic variables and their relationship with the stock prices of six pacific rim countries : a cointegration approach.
publishDate	2008
url	http://hdl.handle.net/10356/10866
_version_	1770565248622788608

Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach.

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