The Analysis of Relationships between Fine Wine Index and Major Asian Stock Indexes

• Main Authors: Ya-Lien Lin, 林雅蓮
• Other Authors: Chun-Hsuan Wang
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/00698120361599232180

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 100 === The stock market has always been ahead of the real economy. Investors expect to find more leading indicators to predict market in recent years, such as street sentiment index, fine wine Index, big Mac index, iPOD indicators, and lipstick index, which hopefully can be used as alternative indicators for decision making. This study applies several time series methods to examine the relationships between fine wine index and major Asian stock indexes with the sample period covered from July 2001 to April 2012. The evidence shows the existence of long-term relationship between fine wine index and stock index only for Taiwan, but not for other major Asian stock indexes. According to Granger causality tests, the significant one-way causalities between fine wine index and Taiwan stock index, Korean stock index, and Chinese stock index are found. Also Chinese stock index is the only leading index to fine wine index. The reason may be the large gain, about 64%, in Chinese stock market during the sample period, which is driven by the large economic growth in China. Moreover, the analysis of impulse responses shows that the impact of fine wine index change on the six major Asian stock indexes is up to eight lags.