Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach.
This paper will employ the Johansen (1991) model to examine the relationship between the stock indices of six Pacific Rim countries (U.S., Japan, Singapore, Hong Kong, Korea, Indonesia and Malaysia) and their respective macroeconomic variables. The results of the Johansen (1991) test for cointegrati...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2008
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/10866 |
| _version_ | 1811687142680690688 |
|---|---|
| author | Liu, Ve Kiong. |
| author2 | Maysami, Ramin Cooper |
| author_facet | Maysami, Ramin Cooper Liu, Ve Kiong. |
| author_sort | Liu, Ve Kiong. |
| collection | NTU |
| description | This paper will employ the Johansen (1991) model to examine the relationship between the stock indices of six Pacific Rim countries (U.S., Japan, Singapore, Hong Kong, Korea, Indonesia and Malaysia) and their respective macroeconomic variables. The results of the Johansen (1991) test for cointegration proves the existence of a cointegrating relationship between stock returns and their macroeconomic variables for all the countries in the study. |
| first_indexed | 2024-10-01T05:11:37Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/10866 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T05:11:37Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/108662023-05-19T05:45:00Z Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach. Liu, Ve Kiong. Maysami, Ramin Cooper Nanyang Business School DRNTU::Business::Finance::Equity This paper will employ the Johansen (1991) model to examine the relationship between the stock indices of six Pacific Rim countries (U.S., Japan, Singapore, Hong Kong, Korea, Indonesia and Malaysia) and their respective macroeconomic variables. The results of the Johansen (1991) test for cointegration proves the existence of a cointegrating relationship between stock returns and their macroeconomic variables for all the countries in the study. 2008-09-24T07:48:26Z 2008-09-24T07:48:26Z 1999 1999 Final Year Project (FYP) http://hdl.handle.net/10356/10866 Nanyang Technological University application/pdf |
| spellingShingle | DRNTU::Business::Finance::Equity Liu, Ve Kiong. Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach. |
| title | Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach. |
| title_full | Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach. |
| title_fullStr | Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach. |
| title_full_unstemmed | Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach. |
| title_short | Macroeconomic variables and their relationship with the stock prices of six Pacific Rim countries : a cointegration approach. |
| title_sort | macroeconomic variables and their relationship with the stock prices of six pacific rim countries a cointegration approach |
| topic | DRNTU::Business::Finance::Equity |
| url | http://hdl.handle.net/10356/10866 |
| work_keys_str_mv | AT liuvekiong macroeconomicvariablesandtheirrelationshipwiththestockpricesofsixpacificrimcountriesacointegrationapproach |