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

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

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...

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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
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Institution: Nanyang Technological University
id sg-ntu-dr.10356-8708
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spelling sg-ntu-dr.10356-87082023-05-19T05:41:39Z Co-movement of stock market indices between Singapore and her trading partners Tan, Priscilla Ung, Wynn Bin Yang Wang, Ruifang Nanyang Business School DRNTU::Business::Finance::Stock exchanges 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. Cointegration test using the Johansen [Journal of Economic Dynamics and Control, 12, 1988] procedure based on Vector Error Correction Model (VECM) is conducted. The short run dynamic interactions of the markets are also examined. 2008-09-24T07:24:09Z 2008-09-24T07:24:09Z 2002 2002 Final Year Project (FYP) http://hdl.handle.net/10356/8708 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
Tan, Priscilla
Ung, Wynn Bin Yang
Co-movement of stock market indices between Singapore and her trading partners
description 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. Cointegration test using the Johansen [Journal of Economic Dynamics and Control, 12, 1988] procedure based on Vector Error Correction Model (VECM) is conducted. The short run dynamic interactions of the markets are also examined.
author2 Wang, Ruifang
author_facet Wang, Ruifang
Tan, Priscilla
Ung, Wynn Bin Yang
format Final Year Project
author Tan, Priscilla
Ung, Wynn Bin Yang
author_sort Tan, Priscilla
title Co-movement of stock market indices between Singapore and her trading partners
title_short Co-movement of stock market indices between Singapore and her trading partners
title_full Co-movement of stock market indices between Singapore and her trading partners
title_fullStr Co-movement of stock market indices between Singapore and her trading partners
title_full_unstemmed Co-movement of stock market indices between Singapore and her trading partners
title_sort co-movement of stock market indices between singapore and her trading partners
publishDate 2008
url http://hdl.handle.net/10356/8708
_version_ 1770566357967962112

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