Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices

By R. Maysami, L. Howe, M. Rahmat. 2005

393 citations recorded by the source corpus.

The relationship between macroeconomic variables and stock market returns is, by now, well-documented in the literature. However, a void in the literature relates to examining the cointegration between macroeconomic variables and stock market's sector indices rather than the composite index. Thus in this paper we examine the long-term equilibrium relationships between selected macroeconomic variables and the Singapore stock market index (STl), as well as with various Singapore Exchange Sector indices-the finance index, the property index, and the hotel index. The study concludes that the Singapore's stock market and the property index form co integrating relationship with changes in the short and long-term interest rates, industrial production, price levels, exchange rate and money supply. Implications of the study and suggestions for future research are provided. ABSTRAK Hubungan antara pembolehubah makroekonomi dengan pulangan pasaran saham, sehing g a kini, sudah banyak dihasilkan dalam karya lepas. Bagaimanapun, masih terdapat kekosongan dalam literatur ini mengenai hubung an kointegrasi antara pembolehubah ekonomi makro dengan indeks sektoral dalam pasaran saham berbanding kajian berkatian dengan indeks komposit. Justeru itu, dalam kertas ini, kami mengkaji hubungan keseimbangan jangka panjang antara beberapa pembolehubah ekonomi makro yang terpilih, dengan indeks pasaran saham Singapura (STl) serta beberapa indeks sektoral - indeks kewangan, indeks hartanah, dan indeks perhotelan. Kajian ini mendapati bahawa pasaran saham Singapura dan indeks hartanah menunjukkan hubungan kointegrasi dengan perubahan kadar bunga jangka pendek dan jangka panjang juga dengan pengeluaran industri, paras harga, kadar tukaran mata wang dan penawaran wang. Implikasi kajian dan cadangan kajian untuk masa depan dikemukakan.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b0a82872eece58364ca3b2ed65c7922a242fd105

How researchers see this paper

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

In Accounting

1. I. O. Osamwonyi
2. K. Hanafy
3. E. I. Evbayiro-Osagie
4. Sara H. Elgazzar
5. M. Barakat

In Economics and Econometrics

1. I. O. Osamwonyi
2. K. Hanafy
3. E. I. Evbayiro-Osagie
4. Puja Padhi
5. Sara H. Elgazzar
6. M. Barakat
7. P. K. Naik

In Finance

1. I. O. Osamwonyi
2. K. Hanafy
3. E. I. Evbayiro-Osagie
4. Puja Padhi
5. Sara H. Elgazzar
6. M. Barakat

Citations in the corpus

• Impact of macroeconomic indicators on Indian capital markets (2011, background): “), an efficient capital market is one in which stock prices change rapidly as the new information becomes avaliable ( Maysami et al. , 2004”
• 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 impact of Macroeconomic Fundamentals on Stock Prices revisited: An Evidence from Indian Data (2012, background): “Mukherjee and Naka (1995), Maysami et al. (2004), Ratanapakorn and Sharma, (2007) found positive relationship between money supply and stock prices, whereas, Rahman et al. (2009) found negative relationship.”
• Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets (2015, background): “…between macroeconomic variables and stock market (Bilson et al., 2001; Hondroyiannis & Papapetrou, 2001; Ibrahim & Aziz, 2003; Tsoukalas, 2003; Maysami et al., 2004; Coleman & Tettey, 2008; Horobet & Dumitr, 2009; Buyuksalvarci, 2010; Geetha et al., 2011; Ali, 2011; Rafique et al., 2013;…”