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Macroeconomic activities and stock prices in a South Pacific island economy


Citation

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

Abstract / Synopsis

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.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Publisher: Faculty of Economics and Management, Universiti Putra Malaysia
Keywords: Stock market; Macroeconomic activities; Cointegration; Granger causality; Fiji
Depositing User: Yusfauhannum Mohd Yunus
Date Deposited: 25 Nov 2008 12:57
Last Modified: 03 Jul 2015 08:29
URI: http://psasir.upm.edu.my/id/eprint/715
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