Abstract
The present study investigates the causality-in-variance between macroeconomic variables and the stock market in Singapore from November 1990 to March 2013. This study utilizes the [Sanso, A, V Arago and JL Carrion (2004). Testing for change in the unconditional variance of financial time series. Revista de Economia Financiera, 4, 32–53.] test to detect the structural break in variance; a generalized autoregressive conditional heteroskedasticity (GARCH) process to model volatility; and the cross correlation function (CCF) causality method. The results demonstrate that the most important macroeconomic causes of stock market volatility in Singapore is exchange rate volatility. The findings provide preliminary insights on risk elements for policy makers monitoring the stability of financial markets by providing insights about volatility spillovers and risk transmission between the stock market and macroeconomic variables in Singapore.
