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

• 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
• Institution: Nanyang Technological University

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...