Liquidity indicators of the Singapore stock market
The following report seeks to identify important indicators of the liquidity in the local stock market, SES. We received various literature of the topic, including models by D. R. Gargett (1978) and M. W. Keran (1971). In particular, our model was built upon Keran’s regression equations, making slig...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Language: | English |
| Published: |
2014
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/55571 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | The following report seeks to identify important indicators of the liquidity in the local stock market, SES. We received various literature of the topic, including models by D. R. Gargett (1978) and M. W. Keran (1971). In particular, our model was built upon Keran’s regression equations, making slight modifications to address differences between the American and the Singapore contexts. For instance, we used 12-month fixed deposit rate as a proxy for the bond yield variable, since the local bond market is rather young. Data spanning the years 1971-1991 were used in conjunction with statistical computer software (regression analysis) to generate important results. These include the degree of correlation between potential liquidity indicators and the SES Industrial Index (SESII). It was found that the money supply measure M2, gross national product (GNP) and the consumer price index (CPI) were suitable indicators of the liquidity in the SES. M2 was the most important variable since continual increases in money supply (through easy monetary policies) would heighten stock market activity, despite the dampening effect on GNP in the next period through interest rate hikes. |
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