The Relationship Between Stock Returns and Economic Growth:The Panel Smooth Transition Regression Model
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 influ...
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ndltd-TW-097KUAS82130042016-04-29T04:19:17Z http://ndltd.ncl.edu.tw/handle/66789209680361751599 The Relationship Between Stock Returns and Economic Growth:The Panel Smooth Transition Regression Model 股價報酬與經濟成長關係探討-縱橫平滑門檻模型之應用 Yi Yuan Chen 陳義淵 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. Mei Se Chien Chien-Chiang Lee 簡美瑟 李建強 2009 學位論文 ; thesis 86 zh-TW |
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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.
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author2 |
Mei Se Chien |
author_facet |
Mei Se Chien Yi Yuan Chen 陳義淵 |
author |
Yi Yuan Chen 陳義淵 |
spellingShingle |
Yi Yuan Chen 陳義淵 The Relationship Between Stock Returns and Economic Growth:The Panel Smooth Transition Regression Model |
author_sort |
Yi Yuan Chen |
title |
The Relationship Between Stock Returns and Economic Growth:The Panel Smooth Transition Regression Model |
title_short |
The Relationship Between Stock Returns and Economic Growth:The Panel Smooth Transition Regression Model |
title_full |
The Relationship Between Stock Returns and Economic Growth:The Panel Smooth Transition Regression Model |
title_fullStr |
The Relationship Between Stock Returns and Economic Growth:The Panel Smooth Transition Regression Model |
title_full_unstemmed |
The Relationship Between Stock Returns and Economic Growth:The Panel Smooth Transition Regression Model |
title_sort |
relationship between stock returns and economic growth:the panel smooth transition regression model |
publishDate |
2009 |
url |
http://ndltd.ncl.edu.tw/handle/66789209680361751599 |
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