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

The results of studies by Fama and Schwert (1977), Chen, Roll and Ross (1986), Nelson (1976) and Jaffe and Mandelker (1976) pointed to a negative relation between inflation and stock prices. We hypothesize similarly: an increase in the rate of inflation is likely to lead to economic tightening policies, which in turn increases the nominal risk-free rate and hence raises the discount rate in the valuation model (equation 1). The effect of a higher discount rate would not necessarily be neutralized by an increase in cash flows resulting from inflation, primarily because cash flows do not generally grow at. | Jurnal Pengurusan 24 2004 47-77 Relationship between Macroeconomic Variables and Stock Market Indices Cointegration Evidence from Stock Exchange of Singapore s All-S Sector Indices Ramin Cooper Maysami Lee Chuin Howe Mohamad Atkin Hamzah ABSTRACT 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 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 cointegrating 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 sehingga kini sudah banyak dihasilkan dalam karya lepas. Bagaimanapun masih terdapat kekosongan dalam literatur ini mengenai hubungan 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 STI 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

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