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Type :thesis
Subject :HG Finance
Main Author :Lim, Shu Ern
Title :Stock market integration in the presence of the leading macroeconomic indicators: empirical evidence from 30 countries
Place of Production :Tanjong Malim
Publisher :Fakulti Pengurusan dan Ekonomi
Year of Publication :2021
Corporate Name :Universiti Pendidikan Sultan Idris
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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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