Dynamic linkage between Macroeconomic Activities and Stock Prices in Fiji
This paper seeks to investigate whether there is any causal relationship between capital stock prices and macroeconomic activities in Fiji. Empirical results show that all the time series data are nonstationary and cointegrated with a single vector. All the explanatory variables have been found to c...
| Main Authors: | , |
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| Format: | Working Paper |
| Language: | English |
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Universiti Malaysia Sarawak, (UNIMAS)
2007
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| Online Access: | http://ir.unimas.my/id/eprint/3077/ http://ir.unimas.my/id/eprint/3077/1/Dynamic%20linkage.pdf |
| _version_ | 1848835138583003136 |
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| author | Puah, Chin-Hong Jayaraman, T.K |
| author_facet | Puah, Chin-Hong Jayaraman, T.K |
| author_sort | Puah, Chin-Hong |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This paper seeks to investigate whether there is any causal relationship between capital stock prices and macroeconomic activities in Fiji. Empirical results show that all the time series data are nonstationary and cointegrated with a single vector. All the explanatory variables have been found to contribute to the long-run equilibrium relationship. The estimation of error-correction model further confirms that stock price index is cointegrated with real economic activities in the long run, and it adjusts rather fast from short-run deviations towards the long-run equilibrium level. Except for interest rate, real output, M2 and exchange rate do Granger cause stock prices in the short-run. |
| first_indexed | 2025-11-15T06:03:06Z |
| format | Working Paper |
| id | unimas-3077 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:03:06Z |
| publishDate | 2007 |
| publisher | Universiti Malaysia Sarawak, (UNIMAS) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-30772022-01-14T01:12:27Z http://ir.unimas.my/id/eprint/3077/ Dynamic linkage between Macroeconomic Activities and Stock Prices in Fiji Puah, Chin-Hong Jayaraman, T.K AC Collections. Series. Collected works HB Economic Theory HF Commerce This paper seeks to investigate whether there is any causal relationship between capital stock prices and macroeconomic activities in Fiji. Empirical results show that all the time series data are nonstationary and cointegrated with a single vector. All the explanatory variables have been found to contribute to the long-run equilibrium relationship. The estimation of error-correction model further confirms that stock price index is cointegrated with real economic activities in the long run, and it adjusts rather fast from short-run deviations towards the long-run equilibrium level. Except for interest rate, real output, M2 and exchange rate do Granger cause stock prices in the short-run. Universiti Malaysia Sarawak, (UNIMAS) 2007 Working Paper NonPeerReviewed text en http://ir.unimas.my/id/eprint/3077/1/Dynamic%20linkage.pdf Puah, Chin-Hong and Jayaraman, T.K (2007) Dynamic linkage between Macroeconomic Activities and Stock Prices in Fiji. [Working Paper] |
| spellingShingle | AC Collections. Series. Collected works HB Economic Theory HF Commerce Puah, Chin-Hong Jayaraman, T.K Dynamic linkage between Macroeconomic Activities and Stock Prices in Fiji |
| title | Dynamic linkage between Macroeconomic Activities and Stock Prices in Fiji |
| title_full | Dynamic linkage between Macroeconomic Activities and Stock Prices in Fiji |
| title_fullStr | Dynamic linkage between Macroeconomic Activities and Stock Prices in Fiji |
| title_full_unstemmed | Dynamic linkage between Macroeconomic Activities and Stock Prices in Fiji |
| title_short | Dynamic linkage between Macroeconomic Activities and Stock Prices in Fiji |
| title_sort | dynamic linkage between macroeconomic activities and stock prices in fiji |
| topic | AC Collections. Series. Collected works HB Economic Theory HF Commerce |
| url | http://ir.unimas.my/id/eprint/3077/ http://ir.unimas.my/id/eprint/3077/1/Dynamic%20linkage.pdf |