The Relationship Between Stock Returns and Economic Growth：The Panel Smooth Transition Regression Model

• Main Authors: Yi Yuan Chen, 陳義淵
• Other Authors: Mei Se Chien
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/66789209680361751599

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 97 === This paper employs panel smooth transition regression, derived in Gonza’lez, Teräsvirta and Dijk(2004), to investigate the non-linear relationship between stock returns and economic growth. Using stock returns as threshold variable, we study whether the influences of stock returns on economic growth are the same between the different stock returns regimes, employing monthly panel data of 20 countries from May 1993 to December 2007. The empirical results confirm the nonlinearity of link between stock returns and economic growth. Being in lower levels, stock returns will leads economic growth, and it is positive relationship between these two variables, which is not supported when stock returns is in higher levels. In addition, evidence indicates that stock returns and economic growth are infinite relationship in the case of region of high economic growth. However, in the case of region of low economic growth, stock returns will leads economic growth, and it is positive relationship between these two variables when stock returns is in higher levels. On the contrary, being in higher levels, it is negative relationship between these two variables.