Journal ArticleDOI
A vector error correction model of the Singapore stock market
TLDR
In this article, the authors examined the long-term equilibrium relationship between the Singapore stock index and selected macroeconomic variables, as well as among stock indices of Singapore, Japan, and the United States.About:
This article is published in International Review of Economics & Finance.The article was published on 2000-02-01. It has received 442 citations till now. The article focuses on the topics: Stock market & Stock market bubble.read more
Citations
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Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices
TL;DR: In this paper, the authors examined the long-term equilibrium relationship 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.
Journal ArticleDOI
Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan
Andreas Humpe,Peter Macmillan +1 more
TL;DR: In this article, a cointegration analysis is applied to model the long term relationship between industrial production, the consumer price index, money supply, long term interest rates and stock prices in the US and Japan.
Journal ArticleDOI
Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples
TL;DR: In this article, the authors investigated the relationship between stock prices and macroeconomic variables and found that the stock prices were positively associated with the stock price and the exchange rate was negatively associated with stock prices.
Journal ArticleDOI
Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan
Andreas Humpe,Peter Macmillan +1 more
TL;DR: In this article, a cointegration analysis is applied to model the long-term relationship between industrial production, the consumer price index, money supply, longterm interest rates and stock prices in the US and Japan.
References
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Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
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Maximum likelihood estimation and inference on cointegration — with applications to the demand for money
Søren Johansen,Katarina Juselius +1 more
TL;DR: In this paper, the estimation and testing of long-run relations in economic modeling are addressed, starting with a vector autoregressive (VAR) model, the hypothesis of cointegration is formulated as a hypothesis of reduced rank of the long run impact matrix.
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The arbitrage theory of capital asset pricing
TL;DR: Ebsco as mentioned in this paper examines the arbitrage model of capital asset pricing as an alternative to the mean variance pricing model introduced by Sharpe, Lintner and Treynor.
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Economic Forces and the Stock Market
TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.