UPSI Digital Repository (UDRep)
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Abstract : Universiti Pendidikan Sultan Idris |
This study aims to determine the integration of stock markets in the presence of the
leading macroeconomic indicators. Specifically, this study aims to determine the causal
effect of the leading macroeconomic indicators on the stock market, the cointegration
relationship between the stock market and the leading macroeconomic indicators, and
the integration of stock markets across national borders. This study is underpinned by
the information efficient market at semi-strong form. The data used in this study are
from 30 countries based on the year 1995 quarter one to the year 2018 quarter one. The
methods employed are Toda-Yamamoto causality analysis, Granger causality analysis,
panel heterogeneous cointegration analysis and catching-up analysis. The findings
show that the leading macroeconomic indicators have a causal effect on the stock
markets, the stock market and leading macroeconomic indicators have a long-run and
short-run cointegration relationship, and the stock markets across national borders are
integrated especially during post-recession periods. Overall, the findings of this study
show that the leading macroeconomic indicators may foster stock market integration.
The policy implication from the findings of this study are, this study may help fund
managers, investors, and investment agencies to predict changes in the stock market;
this study may serve as an information guide to stakeholders to optimise stock market
returns from investments; and this study may serve as a guide to help policymakers to
develop a better economic policy in efforts to minimise the negative impact during
financial turbulence. |
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