Causal Relations among Stock Returns and Macroeconomic Business Cycle Variables in Taiwan
Date Issued
2006
Date
2006
Author(s)
Lin, Yu-Shu
DOI
zh-TW
Abstract
This study discusses the relation between the macroeconomic business cycle variables and the stock prices. We choose five coincident indicators of business cycles and the sample period is from January 1981 to March 2006. In addition to vector autoregression (VAR) model, we also test the causality relations between the businesses cycle and the stock market by the Granger causality test.
One of our results is that the cointegration relation existed between theses variables. In the short run, the exogenous factors may impact the equilibrium hence the temporary bias occurs, but it will return to the equilibrium in the long run. Considering the long-run situation, we have to adopt error correction model (VECM) to analyze the causality relations. It shows that stock prices have significant Granger causality relations with all five coincident indicators, manufacturing production index, manufacturing sales, wages in manufacturing, amount of banks’ clearing checks & bills, and quantum of domestic traffic. Moreover, stock prices lead the business cycles coincident indicators about half a year in Taiwan.
Subjects
景氣循環
股市
VAR
VECM
因果關係
Business Cycles
Stock Returns
Causality
Type
thesis
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