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Macroeconomic activities and stock prices in a South Pacific island economy

Puah, Chin Hong and Jayaraman, Tiru K. (2007) Macroeconomic activities and stock prices in a South Pacific island economy. International Journal of Economics and Management, 1 (2). pp. 229-244. ISSN 1823-836X

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Official URL: http://econ.upm.edu.my/ijem/vol1_no2.htm

Abstract

This paper investigates whether there is any causal relationship between capital stock prices and macroeconomic activities in Fiji. The empirical results show that all the time series data are nonstationary and cointegrated with a single vector. All the explanatory variables have been found to contribute to the long-run equilibrium relationship. The estimation of the error-correction model further confirms that the stock price index is cointegrated with real economic activities in the long run, and it adjusts rather fast from short-run deviations towards longrun equilibrium level. Except for interest rate, real output, M2 and exchange rate do Granger cause stock prices in the short-run.

Item Type:Article
Keyword:Stock market; Macroeconomic activities; Cointegration; Granger causality; Fiji
Faculty or Institute:Faculty of Economics and Management
Publisher:Faculty of Economics and Management, Universiti Putra Malaysia
ID Code:715
Deposited By: Yusfauhannum Mohd Yunus
Deposited On:25 Nov 2008 20:57
Last Modified:03 Jul 2015 16:29

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