| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 94 === This research investigates the relationship of macroeconomic activity and the entertainment industry stock market behavior as an example for Disney compny. Monthly data are collected from 1986:01 to 2005:12, totaling of 240 observations. The macroeconomic variables considered in this paper include Disney stock index, leading indicators, export, money supply, S&P500, rate of unemployment and personal income, all of which are adopted to analyze the impact of the macroeconomic condition on the Disney stock prise . This research firstly tested stationary by unit root test. The Cointegration test used to analyze the long-run equilibrium relationship and further apply Error Correction Model to examine the short-run. Granger causality test is used to investigate the lead-lag position among variables dynamic relationship among variables considered. After we take above steps we can find the results as follows:
Firstly, between Disney stock price and macroeconomic factors there is a long-run equilibrium relation.
Secondly, the short-run dynamic findings show that the entertainment industry stock market is tend to be obviously influenced by earlier four stage export,money supply, S&P500 and personal income.
Finally, Granger-causality test findings that leading indiators and personal income seriously leads the Disney stock price, and is useful while predicting the entertainment stock market.
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