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

页码：1475 / 1480

页数：6

共 50 条

[31] THE IMPACT OF THE 1997 HANDOVER ON THE EFFICIENCY OF THE HONG KONG STOCK MARKET
Chong, Terence Tai-Leung
Lok, Lily
[J]. SINGAPORE ECONOMIC REVIEW, 2007, 52 (01): : 27 - 38
[32] Theoretical and Empirical Analysis of the Relationship Between Monetary Policy and Stock Market Indices
Sova, Yevgenii
Lukianenko, Iryna
[J]. 2020 10TH INTERNATIONAL CONFERENCE ON ADVANCED COMPUTER INFORMATION TECHNOLOGIES (ACIT), 2020, : 708 - 711
[33] Does the Capital Market Opening Improve the Price Discovery Efficiency of Stock Market? An Empirical Research Based on Shanghai-Hong Kong Stock Connect
Yu, Xueyan
Yu, Yanbing
[J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2021, 2021
[34] MONETARY SHOCKS AND STOCK MARKET FLUCTUATIONS: WITH AN APPLICATION TO THE CHINESE STOCK MARKET
Zhang, Bo
Hu, Jinyan
Jiang, Mingming
Guo, Feng
[J]. SINGAPORE ECONOMIC REVIEW, 2017, 62 (04): : 875 - 904
[35] An Empirical Study of Stock Market Anomalies
Pandya, Falguni H.
[J]. NMIMS MANAGEMENT REVIEW, 2014, 25 : 31 - 59
[36] Spillover Effect between Shanghai, Shenzhen and Hong Kong Stock Market: A Comparative Analysis Based on "Through Train of Hong Kong Stock"
Zhang Xin-dong
Zhao Fang
Feng Ya-zhu
[J]. 2009 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (16TH), VOLS I AND II, CONFERENCE PROCEEDINGS, 2009, : 1432 - 1441
[37] Correlation and Causality between Stock Market and Macro Economic Variables in India: An Empirical Study
Sahu, Naresh Chandra
Dhiman, Deepinder H.
[J]. E-BUSINESS, MANAGEMENT AND ECONOMICS, 2011, 3 : 281 - +
[38] Correlation between the Chinese Stock Market and the International Commodity Futures Market
Yan, Jiajia
Xu, Xianyun
[J]. 2013 3RD INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2013), VOL 1, 2013, : 159 - 164
[39] An empirical analysis of the conduct of monetary policy by stock market of China
Liu, CZ
Sai, Z
[J]. MANAGEMENT SCIENCES AND GLOBAL STRATEGIES IN THE 21ST CENTURY, VOLS 1 AND 2, 2004, : 859 - 862
[40] An Empirical Study on Measurement of Transmission Lagging Effect of Monetary Policy on the Stock Market
Guo Hai-feng
Li Yi-jun
Geng Zhong-yuan
Gao Na
[J]. 2012 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, 2012, : 1321 - 1325

← 1 2 3 4 5 →