The Study on the Relation between Money Supply and Classified Stock Price Index

碩士 === 國立高雄第一科技大學 === 金融營運所 === 93 === The purpose of this research is to discuss the study on the relation between money supply and classified stock price index, and the sample of article is monthly data of 84/01 to 93/12. We adopt the maximum likelihood method developed by Johansen and vector erro...

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Main Authors: Shiau-Lung Ding, 丁小龍
Other Authors: Ho-Chyuan Chen
Format: Others
Language:zh-TW
Published: 2005
Online Access:http://ndltd.ncl.edu.tw/handle/43464189267133217338
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spelling ndltd-TW-093NKIT56670212016-06-06T04:11:04Z http://ndltd.ncl.edu.tw/handle/43464189267133217338 The Study on the Relation between Money Supply and Classified Stock Price Index 貨幣供給與分類股價指數關聯性探討 Shiau-Lung Ding 丁小龍 碩士 國立高雄第一科技大學 金融營運所 93 The purpose of this research is to discuss the study on the relation between money supply and classified stock price index, and the sample of article is monthly data of 84/01 to 93/12. We adopt the maximum likelihood method developed by Johansen and vector error-correction model to understand the long-term and short-term relationship between variables. Finally, we use granger causality to test the relationship between money supply and classified stock price. In the M1B, the empirical results showed that long-term there exists co-integration relationship in the plastic, textile fiber, and electronic industries. In the M2, the empirical results showed that there exists co-integration relationship in any sample of classified stock price. We show that ECM confirms a short-term imbalance between the M1B, M2, and classified stock price, and thus an adjustment to long-term equilibrium occurs. We find that the M1B does the adjustment in plastic, textile fiber, and electronic industries. On the other hand, M2 does the adjustment in the sample of classified stock price. Granger Causality Test shows that food and M1B exists a feedback relationship, however, between food and M2, M2 takes the lead. In plastic or textile fiber or banking and M1B, M1B takes the lead, however, between they and M2 exists an independency relationship. In steel and money supply, M1B or M2 takes the lead. In electronic and M1B or M2, they exists an independency relationship. Ho-Chyuan Chen 陳和全 2005 學位論文 ; thesis 72 zh-TW
collection NDLTD
language zh-TW
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description 碩士 === 國立高雄第一科技大學 === 金融營運所 === 93 === The purpose of this research is to discuss the study on the relation between money supply and classified stock price index, and the sample of article is monthly data of 84/01 to 93/12. We adopt the maximum likelihood method developed by Johansen and vector error-correction model to understand the long-term and short-term relationship between variables. Finally, we use granger causality to test the relationship between money supply and classified stock price. In the M1B, the empirical results showed that long-term there exists co-integration relationship in the plastic, textile fiber, and electronic industries. In the M2, the empirical results showed that there exists co-integration relationship in any sample of classified stock price. We show that ECM confirms a short-term imbalance between the M1B, M2, and classified stock price, and thus an adjustment to long-term equilibrium occurs. We find that the M1B does the adjustment in plastic, textile fiber, and electronic industries. On the other hand, M2 does the adjustment in the sample of classified stock price. Granger Causality Test shows that food and M1B exists a feedback relationship, however, between food and M2, M2 takes the lead. In plastic or textile fiber or banking and M1B, M1B takes the lead, however, between they and M2 exists an independency relationship. In steel and money supply, M1B or M2 takes the lead. In electronic and M1B or M2, they exists an independency relationship.
author2 Ho-Chyuan Chen
author_facet Ho-Chyuan Chen
Shiau-Lung Ding
丁小龍
author Shiau-Lung Ding
丁小龍
spellingShingle Shiau-Lung Ding
丁小龍
The Study on the Relation between Money Supply and Classified Stock Price Index
author_sort Shiau-Lung Ding
title The Study on the Relation between Money Supply and Classified Stock Price Index
title_short The Study on the Relation between Money Supply and Classified Stock Price Index
title_full The Study on the Relation between Money Supply and Classified Stock Price Index
title_fullStr The Study on the Relation between Money Supply and Classified Stock Price Index
title_full_unstemmed The Study on the Relation between Money Supply and Classified Stock Price Index
title_sort study on the relation between money supply and classified stock price index
publishDate 2005
url http://ndltd.ncl.edu.tw/handle/43464189267133217338
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