Stock Market Equilibrium and Macroeconomic Fundamentals

January 1, 1997

Preview Citation

Format: Chicago

Lamin Y Leigh. Stock Market Equilibrium and Macroeconomic Fundamentals, (USA: International Monetary Fund, 1997) accessed November 21, 2024

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.

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

Publication Details

Pages:

41
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1997/015
Stock No:

WPIEA0151997
ISBN:

9781451843224
ISSN:

1018-5941

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