Macroeconomic causes of stock market volatility in Singapore.
Lim, Wee Leng.
Wong, Wan Chin.
Date of Issue2000
College of Business (Nanyang Business School)
This paper provides further evidence to the proposition that macroeconomic activity has an influence on the volatility in stock market. Employing the Hendry general-to-specific approach and the GARCH(1,1) model, the analysis is done for the period Janaury 1989 to September 1999 on Singapore stock market.
Final Year Project (FYP)
Nanyang Technological University