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

• 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
• Institution: Nanyang Technological University

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...