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

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

研究成果: Article同行評審

3 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁(從 - 到)213-235
頁數23
期刊Emerging Markets Finance and Trade
49
發行號SUPPL. 4
DOIs
出版狀態Published - 2013

All Science Journal Classification (ASJC) codes

  • 金融
  • 經濟學、計量經濟學和金融學 (全部)

指紋

深入研究「Dynamic interactions among macroeconomic variables and stock indexes in Taiwan, Hong Kong, and China」主題。共同形成了獨特的指紋。

引用此