Event

The Sir Arthur Lewis Institute Of Social & Economic Studies invites you to a Research Seminar Presentation delivered by Varuna Ramlal, PhD Candidate, on Comovement in the Caribbean Equity Markets with Macroeconomic Indicators, on Tuesday 15^th December, 2009 at 10 am, in the SALISES Conference Centre, UWI.

Abstract

This paper investigates the strength and direction of the comovement between the macroeconomy and equity returns in three Caribbean countries (Barbados, Jamaica and Trinidad & Tobago).  A Vector Error Correction Mechanism framework was applied to monthly data for the equity returns and macroeconomic variables; which include an index of production, the short term interest rate, the exchange rate, the money supply and the rate of inflation. The Johansen method of cointegration was used to determine comovement in the three countries. Preliminary results show that in Barbados and Trinidad & Tobago only short run relationships between the macroeconomy and the equity market exist but for Jamaica short and long run relationships were found.

Keywords: Comovement, macroeconomy, cointegration, Johansen, Caribbean.