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

17 Pages Posted: 17 Jul 2015

See all articles by Unro Lee

Unro Lee

University of the Pacific (UOP)

Date Written: 1997

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

JEL Classification: G14

Suggested Citation

Lee, Unro, Stock Market and Macroeconomic Policies: New Evidence from Pacific Basin Countries (1997). Multinational Finance Journal, Vol. 1, No. 4, p. 273-289, 1997, Available at SSRN: https://ssrn.com/abstract=2631552

Unro Lee (Contact Author)

University of the Pacific (UOP) ( email )

3601 Pacific Avenue
Stockton, CA 95211
United States

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