The time-series relation between monthly sales and stock prices
Journal
Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
Journal Volume
2006
Date Issued
2006
Author(s)
Abstract
Focuses on several key industries like Textile, Plastics, and Electronics, this study applies the Vector Autoregressive Moving Average (VARMA) Model on the industrial sales index and industrial stock prices index to observe the dynamic relationship between sales and stock prices. Our empirical result has shown a consistent pattern of relationship between sales and stock prices among all industries in the sample. The fitted industrial VARMA model indicated a one-way causal relationship from sales to stock prices. The sales figure could transmit relevant information to the market and influence the stock prices. On the other hand, stock prices do not carry relevant information about future sales. Therefore, the results of this study support the hypothesis of information content of the monthly sales announcements.
SDGs
Type
conference paper