Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/51936
Title: A preliminary study of the effects of macroeconomic variables on Singapore stock market.
Authors: Chye, Chia Chow.
Pek, Hock Soon.
Kang, Bee Hong.
Keywords: DRNTU::Business::Finance
Issue Date: 1996
Abstract: This study aims to investigate the impact of various macroeconomic variables on equity returns. The return of the All-Singapore Share Index was used as the proxy for equity return in Singapore. Thirteen measures of various macroeconomic variables were used in this study. Linear regressions were performed between the contemporaneous, two lag periods and two lead periods data of the various measures and the return on the All-Singapore Share Index. Two sets of regressions, using monthly and quarterly data, were performed. Generally, the quarterly data produced more significant relationships that are consistent with the literature. This could be due to the relative stability in monthly data and has also been noted by others e.g. Fama and Schwert (1977). Next, a procedure called step-wise regression was performed between all the measures and the return on the All-Singapore Share Index using the software SPSS. For the monthly data, the second lead of the CPI, contemporaneous, first and second leads of Dow Jones Index level, contemporaneous Hang Seng Index level, second lag of M2 and the first lag of the POSB savings rate were all significant at the 5% level of significance. Using quarterly data, the second lead of the commercial property price index, contemporaneous and first lag of the Dow Jones and Hang Seng Index level, second lag of the S$/100JPY, first lag of M2, second lead of prime rate, first lead of the property price index and the S$US$, were all significant factors at the 5% level ofsignificance.
URI: http://hdl.handle.net/10356/51936
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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