MACROECONOMIC VARIABLES AND STOCK MARKET INTERACTIONS: NEW ZEALAND EVIDENCE
MACROECONOMIC VARIABLES AND STOCK MARKET INTERACTIONS: NEW ZEALAND EVIDENCE
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宏观经济变量和股市相互作用：新西兰的证据
DOI：
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发表时间：
2006
影响因子：
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通讯作者：
Jun Zhang
中科院分区：
文献类型：
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作者：
C. Gan;Minsoo Lee;Hua Hwa Au Yong;Jun Zhang
本文采用协整检验检验了1990年1月至2003年1月期间新西兰股票指数与7个宏观经济变量之间的关系。具体来说，我们采用约翰森最大似然和格兰杰因果检验来确定新西兰股票指数是否是宏观经济变量的领先指标。此外，本文还利用创新会计分析探讨了NZSE40指数与宏观经济变量之间的短期动态联系。总的来说，NZSE40一直是由利率、货币供应量和实际GDP决定的，没有证据表明新西兰股票指数是宏观经济变量变化的领先指标。
In this paper, we examine the relationships between the New Zealand Stock Index and a set of seven macroeconomic variables from January 1990 to January 2003 using cointegration tests. Specifically, we employ the Johansen Maximum Likelihood and Granger-causality tests to determine whether the New Zealand Stock Index is a leading indicator for macroeconomic vari- ables. In addition, this paper also investigates the short run dynamic linkages between NZSE40 and macroeconomic variables using innovation accounting analyses. In general, the NZSE40 is consistently determined by the interest rate, money supply and real GDP and there is no evidence that the New Zealand Stock Index is a leading indicator for changes in macroeconomic variables.