頁籤選單縮合
| 題 名 | The Cross-Country Barometer Effect of Stock Market: Evidence from U.S. and Japan |
|---|---|
| 作 者 | Pan, Xia; | 書刊名 | Asia Pacific Management Review |
| 卷 期 | 11:4 民95.08 |
| 頁 次 | 頁255-261 |
| 分類號 | 563.54 |
| 關鍵詞 | Cross-country barometer effect; Stock market and economy; Geweke linear dependence; Spectral feedback; Grouped vector auto regression; |
| 語 文 | 英文(English) |
| 英文摘要 | In this paper, we investigate the argument that stock market is a barometer of economy in the context of cross-country effect between the U.S. and Japan. With grouped multivariate autoregressive model, Geweke linear dependence and spectral feedback between one country's stock market and the other country's macro economy was examined. A computing program for Geweke linear dependence and feedback spectrum of grouped VAR was developed and used. It is found that the U.S. stock market can be a barometer of Japanese economy in long run, while Japanese stock market's barometer effect to the U.S. economy is limited. |
本系統中英文摘要資訊取自各篇刊載內容。