A vector error correction model of the Singapore stock market

By R. Maysami, T. S. Koh. 2000

518 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5d4bd6c0806b3374ba68bcd96eadbde668ede5a5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. I. O. Osamwonyi
2. E. I. Evbayiro-Osagie
3. H. Aziz
4. A. Rahman
5. N. M. Sidek
6. Fauziah Hanim Tafri
7. M. Ibrahim
8. Muhammad Khan

In Finance

1. I. O. Osamwonyi
2. E. I. Evbayiro-Osagie
3. M. Ibrahim
4. H. Aziz
5. A. Rahman
6. Y. Lai
7. N. M. Sidek
8. Seyed Mehdi Hosseini

Citations in the corpus

• Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices (2005, background): “Changes in productive activity, through their impact on expected dividends, should in turn influence stock returns (Maysami and Koh 2000).”
• Macroeconomic determinants of Malaysian stock market (2009, background): “The common interest rate proxies are the treasury bills rates and the interbank rates as being employed by Mukherjee and Naka (1995), Maysami and Koh (2000), and Hooker (2004).”
• Macroeconomic factors and stock returns: Evidence from Taiwan (2011, background): “Maysami and Koh (2000) examined such relationships in Singapore.”
• Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan (2009, unknown): “…and many authors find, that corporate cash flows are related to a measure of aggregate output such as Gross Domestic Product (GDP) or industrial production.4 We follow, Chen et al. (1986), Mukherjee and Naka (1995) and Maysami and Koh (2000), and make use of industrial production in this regard.”
• Causal relationship between macro-economic indicators and stock exchange prices in Pakistan (2010, background): “However, Maysami and Koh (2000) document significant contribution of interest rate and exchange rate in the long-run relationship between Singapore’s stock prices and various macroeconomic variables.”
• MACROECONOMIC VARIABLES AND STOCK MARKET INTERACTIONS: NEW ZEALAND EVIDENCE (2006, unknown): “The positive impact of a shock of GDP on the NZSE40 is consistent with the empirical results of Maysami and Koh (2000) and Kwon and Shin (1999) implying that the stock index should reflect the real situation of the economy.”
• The Relationship between Macroeconomic Variables and Stock Market Index in Nigeria (2012, methodology): “There are similar studies that have applied ECM technique with data from other capital markets such as Maysami et al. (2005), Maysami and Koh (2000), Islam and Watanapalachaikul (2003), Maysami and Sim (2002), and Maysami and Sim (2001).”
• The Role of Macroeconomic Variables on Stock Market Index in China and India (2011, background): “Another study by Nandha and Faff (2008) also indicated that increase in oil price has a negative effect on stock returns for most sectors except mining and some related industries such as oil and gas industries. In addition, Sadorsky (2008) showed that increases in firm size or oil prices reduce sto”
• Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples (2003, background): “The long-run relationship between stock prices and industrial production is positive, similar to results obtained for the USA (Fama, 1990), Japan (Mukherjee and Naka, 1995), South Korea (Kwon and Shin, 1999), and Singapore (Maysami and Koh, 2000).”