Stock Market Equilibrium and Macroeconomic Fundamentals

Author/Editor:

Lamin Y Leigh

Publication Date:

January 1, 1997

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

This paper examines the efficiency of the Stock Exchange of Singapore and the relationship between the stock market and the overall economy. Using a wide range of methods for testing market efficiency, the paper establishes that the Singapore stock market is both “weakly” and “semi-strongly” efficient in asset-pricing terms but not “strongly” efficient. Granger causality tests based on the efficiency test results indicate that developments in the stock market appear to be systematically related to the overall economy in Singapore and can thus serve as a leading indicator of its intertemporal behavior.

Series:

Working Paper No. 1997/015

Subject:

Asset prices Demand for money Econometric analysis Financial institutions Financial markets Money Prices Stock markets Stocks Vector autoregression

English

Publication Date:

January 1, 1997

ISBN/ISSN:

9781451843224/1018-5941

Stock No:

WPIEA0151997

Pages:

41

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