This paper examines the long- run equilibrium relationships between the major stock indices of Singapore and the United States and selected macroeconomic variables by means of time series data for the period January 1982 to December 2002. The results of various cointegration tests suggest that...

The last decade has witnessed a marked improvement in information technology. Such an improvement has reduced the information cost for market participants. Thus, whether the influence of geographic factors on international financial linkage is still significant nowadays is an important question...

This paper develops a new market sentiment index for the Hong Kong stock market, one of the largest stock market in the world. The components of the sentiment measure include the turnover ratio, short-selling volume, money flow, HIBOR and return of the U.S. and Japanese markets. We also include...