AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN MONETARY PRICE-VOLUME FACTORS AND STOCK INDEX
碩士 === 南華大學 === 財務管理研究所 === 91 === The study investigates the long-term interrelationships between stock index and monetary factors, by the cointegration analysis. Vector Autoregression (VAR) is first estimated, from which yields forecast error variance decomposition and impulse response function...
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ndltd-TW-091NHU053050012016-06-22T04:20:19Z http://ndltd.ncl.edu.tw/handle/42162150485246825918 AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN MONETARY PRICE-VOLUME FACTORS AND STOCK INDEX 貨幣市場價量因素與股價指數關聯性之實證研究 Chia-hsin Hsieh 謝家欣 碩士 南華大學 財務管理研究所 91 The study investigates the long-term interrelationships between stock index and monetary factors, by the cointegration analysis. Vector Autoregression (VAR) is first estimated, from which yields forecast error variance decomposition and impulse response function to captures their dynamic characteristics. This paper uses monthly data from 1995 to 2001. The empirical results indicate: (1) By Johansen's estimation method, it is found that stock index has no stable long-term relationship with monetary variables. (2) According to its forecast error variance decomposition from the VAR model, we find that M1B has a closer short-term dynamic relationship with the monetary variables of concern. (3)Based on impulse response function, we conclude that a short-term change in the money supply has a positive effect on stock index returns, and over-night rate has a negative effect on stock index returns. Jing-Yi Lai 賴靖宜 2003 學位論文 ; thesis 70 zh-TW |
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碩士 === 南華大學 === 財務管理研究所 === 91 === The study investigates the long-term interrelationships between stock index and monetary factors, by the cointegration analysis. Vector Autoregression (VAR) is first estimated, from which yields forecast error variance decomposition and impulse response function to captures their dynamic characteristics.
This paper uses monthly data from 1995 to 2001.
The empirical results indicate:
(1) By Johansen's estimation method, it is found that stock index has no stable long-term relationship with monetary variables.
(2) According to its forecast error variance decomposition from the VAR model, we find that M1B has a closer short-term dynamic relationship with the monetary variables of concern.
(3)Based on impulse response function, we conclude that a short-term change in the money supply has a positive effect on stock index returns, and over-night rate has a negative effect on stock index returns.
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author2 |
Jing-Yi Lai |
author_facet |
Jing-Yi Lai Chia-hsin Hsieh 謝家欣 |
author |
Chia-hsin Hsieh 謝家欣 |
spellingShingle |
Chia-hsin Hsieh 謝家欣 AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN MONETARY PRICE-VOLUME FACTORS AND STOCK INDEX |
author_sort |
Chia-hsin Hsieh |
title |
AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN MONETARY PRICE-VOLUME FACTORS AND STOCK INDEX |
title_short |
AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN MONETARY PRICE-VOLUME FACTORS AND STOCK INDEX |
title_full |
AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN MONETARY PRICE-VOLUME FACTORS AND STOCK INDEX |
title_fullStr |
AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN MONETARY PRICE-VOLUME FACTORS AND STOCK INDEX |
title_full_unstemmed |
AN EMPIRICAL STUDY OF THE RELATIONSHIP BETWEEN MONETARY PRICE-VOLUME FACTORS AND STOCK INDEX |
title_sort |
empirical study of the relationship between monetary price-volume factors and stock index |
publishDate |
2003 |
url |
http://ndltd.ncl.edu.tw/handle/42162150485246825918 |
work_keys_str_mv |
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