Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices

• Main Authors: Ramin Cooper Maysami,, Lee, Chuin Howe, Mohamad Atkin Hamzah,
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2005
• Online Access: http://journalarticle.ukm.my/1762/1/Jp24-03.pdf; http://journalarticle.ukm.my/1762/; http://www.ukm.my/penerbit/jurus.htm

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...