Relationship between stock prices and macroeconomic variables in selected Asian markets.

This paper employs the Error-Correction Modeling using Hendry's (1986) General-to-Specific approach to examine the short and long run relationships between five macroeconomic variables and the stock returns of Singapore, Malaysia, Japan, Hong Kong, Thailand and South Korea. The macroeconomic va...

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Main Author: Sim, Hsien Hui.
Other Authors: Ramin Cooper Maysami
Format: Theses and Dissertations
Language:English
Published: 2008
Subjects:
Online Access:http://hdl.handle.net/10356/7662
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-76622024-01-12T10:14:28Z Relationship between stock prices and macroeconomic variables in selected Asian markets. Sim, Hsien Hui. Ramin Cooper Maysami Nanyang Business School DRNTU::Business::Finance::Equity This paper employs the Error-Correction Modeling using Hendry's (1986) General-to-Specific approach to examine the short and long run relationships between five macroeconomic variables and the stock returns of Singapore, Malaysia, Japan, Hong Kong, Thailand and South Korea. The macroeconomic variables analyzed include interest rate, inflation, money supply, exchange rate and real activity. A dummy variable is also included to capture the impact of the July 1997 Asian financial crisis on the various stock markets. The results confirm the existence of a short-term association between macroeconomic variables and the stock prices. Long run cointegrating relationships are also established between the variables and the equity markets studied. The type and magnitude of the relationships in different countries seem to differ depending on each country's financial structure. Accordingly, possible economic interpretations of the results based on the macroeconomic setting of the different countries are provided. Master of Business (By Research) 2008-09-18T07:49:17Z 2008-09-18T07:49:17Z 2000 2000 Thesis http://hdl.handle.net/10356/7662 en Nanyang Technological University 107 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance::Equity
spellingShingle DRNTU::Business::Finance::Equity
Sim, Hsien Hui.
Relationship between stock prices and macroeconomic variables in selected Asian markets.
description This paper employs the Error-Correction Modeling using Hendry's (1986) General-to-Specific approach to examine the short and long run relationships between five macroeconomic variables and the stock returns of Singapore, Malaysia, Japan, Hong Kong, Thailand and South Korea. The macroeconomic variables analyzed include interest rate, inflation, money supply, exchange rate and real activity. A dummy variable is also included to capture the impact of the July 1997 Asian financial crisis on the various stock markets. The results confirm the existence of a short-term association between macroeconomic variables and the stock prices. Long run cointegrating relationships are also established between the variables and the equity markets studied. The type and magnitude of the relationships in different countries seem to differ depending on each country's financial structure. Accordingly, possible economic interpretations of the results based on the macroeconomic setting of the different countries are provided.
author2 Ramin Cooper Maysami
author_facet Ramin Cooper Maysami
Sim, Hsien Hui.
format Theses and Dissertations
author Sim, Hsien Hui.
author_sort Sim, Hsien Hui.
title Relationship between stock prices and macroeconomic variables in selected Asian markets.
title_short Relationship between stock prices and macroeconomic variables in selected Asian markets.
title_full Relationship between stock prices and macroeconomic variables in selected Asian markets.
title_fullStr Relationship between stock prices and macroeconomic variables in selected Asian markets.
title_full_unstemmed Relationship between stock prices and macroeconomic variables in selected Asian markets.
title_sort relationship between stock prices and macroeconomic variables in selected asian markets.
publishDate 2008
url http://hdl.handle.net/10356/7662
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