A Singaporean Study on Macroeconomic Variables Impacting Stock Returns
Abstract
Stock market returns has increasingly become a leading indicator of a country’s economic performance. This explains academia’s growing interest in determining factors affecting stock returns. A majority of recent studies on Singapore’s economic performance focused centrally around policy impact or property prices, and not specifically on stock returns. This study aimed to fill this gap, by examining if, and how, historical movements in the Straits Times Index (STI) were explained by the S$NEER, Monetary Supply, CPI, Balance of Payments, Crude Oil Prices, Electricity Generated, GFCF, Industrial Production, Merchandise Trade, or Labour Cost. By utilizing a Structural Vector Auto regression (SVAR) Model, approximately 48% of the STI’s variance was collectively attributable to these ten macroeconomic variables, all of which had short-term impact on the STI. Looking forward, further research could be conducted examining the impact of said variables on individual sectoral stock indices, for greater insight on the dynamics of their relationships.
Submission of an article implies that the work described has not been published previously (except in the form of an abstract or as part of a published lecture or academic thesis), that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, in English or in any other language, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.
Copyrights for articles published in MTI journals are retained by the authors, with first publication rights granted to the journal. The journal/publisher is not responsible for subsequent uses of the work. It is the author's responsibility to bring an infringement action if so desired by the author.
