A Cointegration Analysis of the Impact of Economic Forces and Global Market Integration on the Singapore Stock Market
BibTeX
@MISC{Ramin_acointegration,
author = {Tiong Sim Ramin and Koh Tiong Sim and Ramin Cooper Maysami},
title = {A Cointegration Analysis of the Impact of Economic Forces and Global Market Integration on the Singapore Stock Market},
year = {}
}
Share
 |
 |
 |
 |
||
OpenURL
Abstract
This paper extends Mukherjee and Naka's (1995) multivariate cointegration analysis of the impact of economic forces on the Japanese stock market to the Singapore context. We find that changes in two measures of real economic activity, industrial production and trade, are not integrated of the same order as changes in Singapore's stock market levels. Building a vector error-correction model, we find that changes in Singapore's stock market levels form a cointegrating relationship with changes in price levels, money supply, short term interest rates, long term interest rates and exchange rates. While changes in interest and exchange rates contribute significantly to the cointegrating relationship, those in price levels and money supply do not. This suggests that the Singapore stock market is interest and exchange rate-sensitive. We also build a trivariate vector error-correction model using changes in the Singapore, US and Japanese stock market levels and find that the three markets are ...
Keyphrases
singapore stock market economic force cointegration analysis global market integration exchange rate price level money supply cointegrating relationship stock market level short term interest rate long term interest rate japanese stock market japanese stock market level multivariate cointegration analysis singapore context real economic activity industrial production trivariate vector error-correction model vector error-correction model
