jurnal pengurusan

Jurnal Pengurusan 24(2004) 47-77

Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration
Evidence from Stock Exchange of
Singapore’s All-S Sector Indices
Ramin Cooper Maysami
Lee Chuin Howe
Mohamad Atkin Hamzah
ABSTRACT

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 this paper we examine the long-term equilibrium relationships between selected macroeconomic variables and the Singapore stock market index (STI), as well as with various Singapore Exchange Sector indices—the finance index, the property index, and the hotel index. The study concludes that the Singapore’s stock market and the property index form cointegrating relationship with changes in the short and long-term interest rates, industrial production, price levels, exchange rate and money supply. Implications of the study and suggestions for future research are provided.
ABSTRAK

Hubungan antara pembolehubah makroekonomi dengan pulangan pasaran saham, sehingga kini, sudah banyak dihasilkan dalam karya lepas.
Bagaimanapun, masih terdapat kekosongan dalam literatur ini mengenai hubungan kointegrasi antara pembolehubah ekonomi makro dengan indeks sektoral dalam pasaran saham berbanding kajian berkatian dengan indeks komposit. Justeru itu, dalam kertas ini, kami mengkaji hubungan keseimbangan jangka panjang antara beberapa pembolehubah ekonomi makro yang terpilih, dengan indeks pasaran saham Singapura (STI) serta beberapa indeks sektoral – indeks kewangan, indeks hartanah, dan indeks perhotelan. Kajian ini mendapati bahawa pasaran saham Singapura dan indeks hartanah menunjukkan hubungan kointegrasi dengan perubahan kadar bunga jangka pendek dan jangka panjang juga dengan pengeluaran industri,

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