Journal ArticleDOI
Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries
TLDR
In this article, the role of select macroeconomic variables, i.e., GNP, the consumer price index, the money supply, the interest rate, and the exchange rate on stock prices in five ASEAN countries (Indonesia, Malaysia, Philippines, Singapore, and Thailand) was investigated.About:
This article is published in Journal of Asian Economics.The article was published on 2002-01-01. It has received 397 citations till now. The article focuses on the topics: Stock exchange & Stock market.read more
Citations
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Macro economy, stock market and oil prices: do meaningful relationships exist among their cyclical fluctuations?
TL;DR: In this paper, the authors examined the relationship among consumer price index, industrial production, stock market and oil prices in Greece and found that oil prices and the stock market exercise a positive effect on the Greek CPI, in the long run.
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Interrelationships among regional stock indices
TL;DR: In this paper, the authors investigated the short-run and long-run relationships among stock indices of the US, Europe, Asia, Latin America, and Eastern Europe-Middle East for the pre-Asian crisis and for the crisis period.
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Causal nexus between economic growth, banking sector development, stock market development, and other macroeconomic variables: The case of ASEAN countries
TL;DR: In this article, the authors examined the relationship between banking sector development, stock market development, economic growth, and four other macroeconomic variables in ASEAN countries for the period 1961-2012.
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The Role of Macroeconomic Variables on Stock Market Index in China and India
TL;DR: In this article, the authors investigated the relationship between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India.
References
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Journal ArticleDOI
Testing for a Unit Root in Time Series Regression
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.
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Statistical analysis of cointegration vectors
TL;DR: In this paper, the authors consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors, and derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions.
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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.
Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models / Søren Johansen
TL;DR: In this paper, the authors present the likelihood methods for the analysis of cointegration in VAR models with Gaussian errors, seasonal dummies, and constant terms, and show that the asymptotic distribution of the maximum likelihood estimator is mixed Gausssian.
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Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models
TL;DR: In this article, the authors derived the likelihood analysis of vector autoregressive models allowing for cointegration and showed that the asymptotic distribution of the maximum likelihood estimator of the cointegrating relations can be found by reduced rank regression and derives the likelihood ratio test of structural hypotheses about these relations.