Dynamic linkage between Macroeconomic Activities and Stock Prices in Fiji
AbstractThis paper seeks to investigate whether there is any causal relationship between capital stock prices and macroeconomic activities in Fiji. Empirical results show that all the time series data are nonstationary and cointegrated with a single vector. All the explanatory variables have been found to contribute to the long-run equilibrium relationship. The estimation of error-correction model further confirms that stock price index is cointegrated with real economic activities in the long run, and it adjusts rather fast from short-run deviations towards the long-run equilibrium level. Except for interest rate, real output, M2 and exchange rate do Granger cause stock prices in the short-run.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 37671.
Date of creation: 2007
Date of revision:
Publication status: Published in International Journal of Economics and Management. 2.1(2007): pp. 229-244
Error-correction model; stock market; Fiji;
Find related papers by JEL classification:
- O56 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Oceania
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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