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The macroeconomic determinants of stock price volatility : Evidence from Taiwan, South Korea, Singapore and Hong Kong

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  • The macroeconomic determinants of stock price volatility
  • Chiou-Wei, Song-Zan
  • Nan-Hua University


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Title The macroeconomic determinants of stock price volatility
Similar Titles
Sub Title

Evidence from Taiwan, South Korea, Singapore and Hong Kong

Material Type Reports
Author(English)

Chiou-Wei, Song-Zan

Publisher

[Chiayi]:Nan-Hua University

Date 2002-05
Pages 21
Subject Country Hong Kong(Asia and Pacific)
Singapore(Asia and Pacific)
South Korea(Asia and Pacific)
Taiwan(Asia and Pacific)
Language English
File Type Link
Subject Economy < Economic System
Economy < Direct Investment
Holding Nan-Hua University

Abstract

This paper investigates the roles of macroeconomic variables, i.e., money supply, oil price, exchange rate and inflation on the stock price using four Asia stock markets as samples (Taiwan, South Korea and Singapore and Hong Kong). A structural VAR model is applied to observe the differences of the structure of fluctuations after the 1997 financial crisis. Our results suggest that there exists no cointegrating relationship among variables during the pre-crisis period while exists one during the post-crisis period. Oil prices and exchange rate are found to be the main factors that would significantly and negatively affect stock returns throughout the period. Results also indicate that effect of inflation has increased substantially for Singapore and Hong Kong after the crisis.