This paper investigates the roles of macroeconomic variables, i.e., money supply, oil price, exchange rate and inflation on the stock price using four Asia stock markets as samples (Taiwan, South Korea and Singapore and Hong Kong). A structural VAR model is applied to observe the differences of the structure of fluctuations after the 1997 financial crisis. Our results suggest that there exists no cointegrating relationship among variables during the pre-crisis period while exists one during the post-crisis period. Oil prices and exchange rate are found to be the main factors that would significantly and negatively affect stock returns throughout the period. Results also indicate that effect of inflation has increased substantially for Singapore and Hong Kong after the crisis.
