Correlation between stock market and monetary market: Empirical study of Hong Kong market

被引：0
|
作者：
Hao Qing-min [1 ]
Cui He-rui [1 ]
机构：
[1] Tianjin Univ, Sch Management, Tianjin 300072, Peoples R China
来源：
Proceedings of the 2006 International Conference on Management Science & Engineering (13th), Vols 1-3 | 2006年
关键词：
interest rate; nonlinearity; smooth transition regression stochastic volatility models; stock index;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
To explore the complicated correlation between stock market and policy embedded monetary market in Hong Kong. Smooth transition regression stochastic volatility model is use to examine the real world time series like Hang Seng Stock Index and Interbank Offered Interest Rate. The results show: nonlinear and negative relationship existed between stock index and interbank offered rate. When transition function in the nonlinear part is active the equity premium will be positive and when it is not active the model is in essence linear and the premium will be negative. Stock index is influenced greater by itself than interest rate, the results presents, evidence of market efficiency in Hong Kong.
引用
收藏
页码：1475 / 1480
页数：6
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