Stock Market and Macroeconomic Policies: New Evidence from Pacific Basin Countries

Unro Lee
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Unro Lee: University of the Pacific, U.S.A.

Multinational Finance Journal, 1997, vol. 1, issue 4, 273-289

Abstract: This article investigates whether the stock markets of the Pacific Basin countries of Hong Kong, Singapore, South Korea, and Taiwan are informationally efficient with respect to macroeconomic policies. Granger causality tests are utilized in the context of a Vector Error Correction Model to test the relationship between aggregate stock prices and monetary and fiscal policies. The findings indicate that the stock markets of all four countries are not efficient with respect to both macroeconomic policies. These findings are different from those of other articles focusing on major industrialized countries. Rejection of market efficiency may be attributed to the unique structure of financial markets in these countries.

Keywords: Pacific Basin countries; stock returns; macroeconomic policies; informational efficiency (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:1:y:1997:i:4:p:273-289

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