Cointegration analysis between SES all-s indices and macroeconomic variables.

Cointegration analysis between SES all-s indices and macroeconomic variables.

This article examines the long-term equilibrium relationships between the overall Singapore stock index, finance index, property index, hotel index and selected macroeconomic variables. Upon testing appropriate vector error-correction models, we detected the Singapore’s stock...

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Main Authors: Mohamad Atkin Hamzah., Lee, Chuin Howe.
Other Authors: Ramin Cooper Maysami
Format: Final Year Project
Published: 2008
Subjects:
DRNTU::Business::Finance::Stock exchanges
Online Access:http://hdl.handle.net/10356/8540
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Institution: Nanyang Technological University
id sg-ntu-dr.10356-8540
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spelling sg-ntu-dr.10356-85402023-05-19T07:23:10Z Cointegration analysis between SES all-s indices and macroeconomic variables. Mohamad Atkin Hamzah. Lee, Chuin Howe. Ramin Cooper Maysami Nanyang Business School DRNTU::Business::Finance::Stock exchanges This article examines the long-term equilibrium relationships between the overall Singapore stock index, finance index, property index, hotel index and selected macroeconomic variables. Upon testing appropriate vector error-correction models, we detected the Singapore’s stock market levels and property index do form cointegrating relationship with changes in the short and long-term interest rates, industrial production, price levels, exchange rate and money supply. 2008-09-24T07:22:25Z 2008-09-24T07:22:25Z 2002 2002 Final Year Project (FYP) http://hdl.handle.net/10356/8540 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::Stock exchanges
spellingShingle DRNTU::Business::Finance::Stock exchanges
Mohamad Atkin Hamzah.
Lee, Chuin Howe.
Cointegration analysis between SES all-s indices and macroeconomic variables.
description This article examines the long-term equilibrium relationships between the overall Singapore stock index, finance index, property index, hotel index and selected macroeconomic variables. Upon testing appropriate vector error-correction models, we detected the Singapore’s stock market levels and property index do form cointegrating relationship with changes in the short and long-term interest rates, industrial production, price levels, exchange rate and money supply.
author2 Ramin Cooper Maysami
author_facet Ramin Cooper Maysami
Mohamad Atkin Hamzah.
Lee, Chuin Howe.
format Final Year Project
author Mohamad Atkin Hamzah.
Lee, Chuin Howe.
author_sort Mohamad Atkin Hamzah.
title Cointegration analysis between SES all-s indices and macroeconomic variables.
title_short Cointegration analysis between SES all-s indices and macroeconomic variables.
title_full Cointegration analysis between SES all-s indices and macroeconomic variables.
title_fullStr Cointegration analysis between SES all-s indices and macroeconomic variables.
title_full_unstemmed Cointegration analysis between SES all-s indices and macroeconomic variables.
title_sort cointegration analysis between ses all-s indices and macroeconomic variables.
publishDate 2008
url http://hdl.handle.net/10356/8540
_version_ 1772827046703005696

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