Relationship between Macroeconomic Variables and Stock Market Indices : Cointegration Evidence from Stock Exchange of Singapore ’ s AllS Sector Indices

@inproceedings{Maysami2006RelationshipBM,
  title={Relationship between Macroeconomic Variables and Stock Market Indices : Cointegration Evidence from Stock Exchange of Singapore ’ s AllS Sector Indices},
  author={Ramin Cooper Maysami and L. Howe and Mohamad Atkin Hamzah},
  year={2006}
}
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 (STI), as well as with various Singapore Exchange Sector… CONTINUE READING
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