Dynamic interactions among macroeconomic variables and stock indexes in Taiwan, Hong Kong, and China

Syouching Lai, Teng Cheng, Hung-chih Li, Sheng Peng Chien

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

This study analyzes dynamic interactions among macroeconomic variables and the stock markets of Taiwan, Hong Kong, and China by incorporating the long-term and short-term comovements, which can shed some light on the long-term and short-term market efficiency/inefficiency in the region. The number of common cycles is investigated in these markets and each stock index series is decomposed into its trend and cyclical components. The authors observe that foreign stock markets have greater influence on the domestic market than domestic macroeconomic variables do. This implies that policymakers need to consider not only macroeconomic variables but also the effects of markets on one another when markets are integrated.

Original languageEnglish
Pages (from-to)213-235
Number of pages23
JournalEmerging Markets Finance and Trade
Volume49
Issue numberSUPPL. 4
DOIs
Publication statusPublished - 2013 Dec 1

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics, Econometrics and Finance(all)

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