Granger Causality Between The Stock Market Index and Macroeconomic Variables. A Study of Malaysia and Singapore
This paper investigates the causal relationships that may be present between the stock market index of developing countries and their macroeconomic variables based on the Vector Error Correction Model (VECM) framework. The countries Malaysia and Singapore are chosen for the purpose of this paper, wh...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
|
| Online Access: | https://eprints.nottingham.ac.uk/24079/ |
Similar Items
Granger causality : exchange rate and macroeconomic variables movements in Singapore / Hazwani Haziyah Mohd Ali
by: Mohd Ali, Hazwani Haziyah
Published: (2016)
by: Mohd Ali, Hazwani Haziyah
Published: (2016)
Causal relationship between stock market returns and macroeconomic variables in Nigeria
by: Ali, Umar Ahmad, et al.
Published: (2015)
by: Ali, Umar Ahmad, et al.
Published: (2015)
Dynamic Causal Analysis between
the Stock Market and Macroeconomic Variables in the USA
by: Chung, Rhys
Published: (2021)
by: Chung, Rhys
Published: (2021)
The dynamic relationships of macroeconomic variables and stock index : study of Malaysia and Singapore
by: Yap, Sarah Siong Yen
Published: (2012)
by: Yap, Sarah Siong Yen
Published: (2012)
Causal relationship between the volatility of stock market and selected macroeconomic variables: case of Malaysia
by: Lida Nikmanesh,, et al.
Published: (2014)
by: Lida Nikmanesh,, et al.
Published: (2014)
A comparison between Malaysia and Singapore stock index: macroeconomic variable / Nurul Natashya Taib
by: Taib, Nurul Natashya
Published: (2017)
by: Taib, Nurul Natashya
Published: (2017)
Granger causality analysis on PLUS highway traffic network
by: Mohd Asrah, Norhaidah, et al.
Published: (2018)
by: Mohd Asrah, Norhaidah, et al.
Published: (2018)
Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of
Singapore’s all-S sector indices
by: Ramin Cooper Maysami,, et al.
Published: (2005)
by: Ramin Cooper Maysami,, et al.
Published: (2005)
Granger-causality between monetary aggregates and sectoral production in Malaysia / Wan Kay Choy
by: Wan, Kay Choy
Published: (2002)
by: Wan, Kay Choy
Published: (2002)
On the causal links between poverty and HIV in Nigeria, 1990-2009: An application of Granger causality and co-integration techniques
by: Halima Salihi Ahmad,, et al.
Published: (2012)
by: Halima Salihi Ahmad,, et al.
Published: (2012)
Revisiting relationship between Malaysian Stock Market Index and selected macroeconomic variables using asymmetric cointegration
by: Hakimah Nur Ahmad Hamidi,, et al.
Published: (2018)
by: Hakimah Nur Ahmad Hamidi,, et al.
Published: (2018)
The effects of macroeconomics variables on stock
index: Kuala Lumpur Composite Index
by: Abu Zarim, Noraznida
Published: (2014)
by: Abu Zarim, Noraznida
Published: (2014)
The Relationship between Macroeconomic Variables and Stock Market Performance in Thailand
by: Lee, Yeow Keat, et al.
Published: (2017)
by: Lee, Yeow Keat, et al.
Published: (2017)
Relationship between stock market volatility and macroeconomic variables volatility in Malaysia
by: Chia, Mong Yin, et al.
Published: (2013)
by: Chia, Mong Yin, et al.
Published: (2013)
Influences Of Macroeconomic Variables On The Malaysian Stock Market
by: Mei, Cheng Mei
Published: (2005)
by: Mei, Cheng Mei
Published: (2005)
Macroeconomics Variables and the Stock Market : The Case of Russia
by: Yelyubayev, Talgat
Published: (2011)
by: Yelyubayev, Talgat
Published: (2011)
Macroeconomic Variables Influence on Stock Market Performance
by: Norazidah, Shamsudin, et al.
Published: (2021)
by: Norazidah, Shamsudin, et al.
Published: (2021)
Determinants of macroeconomic variables effect stock market return: empirical evidence from Malaysia and Singapore / Amirah Jamiahan
by: JAMIAHAN, AMIRAH
Published: (2017)
by: JAMIAHAN, AMIRAH
Published: (2017)
Influence of Macroeconomic Variables on Stock Price Index: Evidence from Malaysia
by: Ong, Bao Sheng, et al.
Published: (2017)
by: Ong, Bao Sheng, et al.
Published: (2017)
Relationship between stock market and macroeconomic variables / Syazwani Ezzaty Zafrin
by: Zafrin, Syazwani Ezzaty
Published: (2015)
by: Zafrin, Syazwani Ezzaty
Published: (2015)
Causal Relations Between Macroeconomic Factors and Vietnamese Stock Market Returns: A Johansen Cointegration Test
by: Nguyen, The Huy
Published: (2018)
by: Nguyen, The Huy
Published: (2018)
Institutions and economic development: a Granger causality analysis of panel data evidence
by: Law, Siong Hook, et al.
Published: (2013)
by: Law, Siong Hook, et al.
Published: (2013)
The impact of macroeconomic variables on the stock market performance in Japan
by: Yip, Jia Shen, et al.
Published: (2014)
by: Yip, Jia Shen, et al.
Published: (2014)
The relationship between macroeconomic variables and stock prices
by: Goh, Lee Hua, et al.
Published: (2013)
by: Goh, Lee Hua, et al.
Published: (2013)
The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
by: Phang, Chee Kong
Published: (2006)
by: Phang, Chee Kong
Published: (2006)
The Linkages Between
Stock Return And Macroeconomic Variables
In Malaysia
by: Phang, Chee Kong
Published: (2006)
by: Phang, Chee Kong
Published: (2006)
The Linkages Between Stock Return And Macroeconomic Variables In Malaysia
by: Phang, Chee Kong
Published: (2006)
by: Phang, Chee Kong
Published: (2006)
The Linkages Between
Stock Return And Macroeconomic Variables
In Malaysia
by: Phang, Chee Kong
Published: (2006)
by: Phang, Chee Kong
Published: (2006)
Money-output granger non causality in a small open economy : Malaysian experience
by: Abdul Rahman, Kamaludin
Published: (2000)
by: Abdul Rahman, Kamaludin
Published: (2000)
Budget deficits and interest rates in Malaysia : a Granger-causality analysis / Han Siu Boon.
by: Han, Siu Boon
Published: (2004)
by: Han, Siu Boon
Published: (2004)
Macroeconomic Variables and Stock Returns: Empirical Evidence from Nigerian Stock Market
by: Adenike, Azeez Aminat
Published: (2009)
by: Adenike, Azeez Aminat
Published: (2009)
Impact of macroeconomic variables on stock market development: Evidence from Malaysia
by: Yong, Shin Ying, et al.
Published: (2013)
by: Yong, Shin Ying, et al.
Published: (2013)
The relationship between selected macroeconomic variables towards stock market in Malaysia / Nurdiyana Mohd Shah
by: Mohd Shah, Nurdiyana
Published: (2017)
by: Mohd Shah, Nurdiyana
Published: (2017)
Index-Futures Lead-Lag And Price -Volume Causality: A Study Of The Malaysian Stock Index Futures Market
by: Ramasamy, Suganthi
Published: (2003)
by: Ramasamy, Suganthi
Published: (2003)
Index-Futures Lead-Lag And Price -Volume Causality: A Study Of The Malaysian Stock Index Futures Market
by: Ramasamy, Suganthi
Published: (2003)
by: Ramasamy, Suganthi
Published: (2003)
The Effects of Macroeconomic Variables on Stock Market Returns in Developing Markets: The Case of Indonesia
by: Sunarso, Nydia Angelina
Published: (2015)
by: Sunarso, Nydia Angelina
Published: (2015)
Empirical Test of Macroeconomic Variables and Stock Market Returns in Asian Emerging Market
by: Selamat, Zarehan
Published: (2001)
by: Selamat, Zarehan
Published: (2001)
Islamic banking-growth nexus: evidence from Toda-Yamamoto and bootstrap granger causality test
by: Abdul Manap, Turkhan Ali, et al.
Published: (2012)
by: Abdul Manap, Turkhan Ali, et al.
Published: (2012)
The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets
by: Abduh, Muhamad, et al.
Published: (2013)
by: Abduh, Muhamad, et al.
Published: (2013)
Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach
by: Lavi, Evan Wiranata
Published: (2017)
by: Lavi, Evan Wiranata
Published: (2017)