Macroeconomic causes of stock market volatility in Singapore.

• Main Authors: Lim, Wee Leng., Wong, Wan Chin.
• Other Authors: Cao, Yong
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/9237
• Institution: Nanyang Technological University

This paper provides further evidence to the proposition that macroeconomic activity has an influence on the volatility in stock market. Employing the Hendry general-to-specific approach and the GARCH(1,1) model, the analysis is done for the period Janaury 1989 to September 1999 on Singapore stock ma...