Stock Market Equilibrium and Macroeconomic Fundamentals

Lamin Leigh

No 1997/015, IMF Working Papers from International Monetary Fund

Abstract: This paper examines the efficiency of the Stock Exchange of Singapore and the relationship between the stock market and the overall economy. Using a wide range of methods for testing market efficiency, the paper establishes that the Singapore stock market is both “weakly” and “semi-strongly” efficient in asset-pricing terms but not “strongly” efficient. Granger causality tests based on the efficiency test results indicate that developments in the stock market appear to be systematically related to the overall economy in Singapore and can thus serve as a leading indicator of its intertemporal behavior.

Keywords: WP; stock market; share price; money demand; present value; Singapore stock market; efficiency test; aggregate stock market indicator; stock market efficiency; stock return; Stock markets; Stocks; Asset prices; Vector autoregression; Demand for money; Global (search for similar items in EconPapers)
Pages: 41
Date: 1997-01-01
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Citations: View citations in EconPapers (7)

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