Stock Market Equilibrium and Macroeconomic Fundamentals
January 1, 1997
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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.
Subject: Asset prices, Demand for money, Econometric analysis, Financial institutions, Financial markets, Money, Prices, Stock markets, Stocks, Vector autoregression
Keywords: aggregate stock market indicator, Asset prices, Demand for money, efficiency test, Global, money demand, present value, share price, Singapore stock market, stock market, stock market efficiency, Stock markets, stock return, Stocks, Vector autoregression, WP
Pages:
41
Volume:
1997
DOI:
Issue:
015
Series:
Working Paper No. 1997/015
Stock No:
WPIEA0151997
ISBN:
9781451843224
ISSN:
1018-5941
