Co-movement of stock market indices between Singapore and her trading partners

• Main Authors: Tan, Priscilla, Ung, Wynn Bin Yang
• Other Authors: Wang, Ruifang
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/8708
• Institution: Nanyang Technological University

This paper investigates the price linkages between the equity markets of Singapore and that of Indonesia, Philippines, Malaysia, Taiwan, Hong Kong, United States, Japan and Germany using daily Morgan Stanley Capital International (MSCI) stockmarket data covering the period 1997 to 2001. Cointegratio...