The Macroeconomic Determinants of Stock Price Volatility: Evidence From Taiwan, South Korea, Singapore and Hong Kong

NHUIR > The Journals of Nanhua University > Journal of environment and management > Item 987654321/6612

Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/6612

Title:	The Macroeconomic Determinants of Stock Price Volatility: Evidence From Taiwan, South Korea, Singapore and Hong Kong
Authors:	Song-Zan Chiou-Wei
Keywords:	stock price volatility SVAR cointegration ECM
Date:	2007-12-01
Issue Date:	2010-12-23 09:39:01 (UTC+8)
Publisher:	南華大學環境管理研究所
Abstract:	This paper investigates the roles of macroeconomic variables, i.e., money supply, oil price, exchange rate and inflation on the stock price using four Asia stock markets as samples (Taiwan, South Korea and Singapore and Hong Kong). A structural VAR model is applied to observe the differences of the structure of fluctuations after the 1997 financial crisis. Our results suggest that there exists no cointegrating relationship among variables during the pre-crisis period while exists one during the post-crisis period. Oil prices and exchange rate are found to be the main factors that would significantly and negatively affect stock returns throughout the period. Results also indicate that effect of inflation has increased substantially for Singapore and Hong Kong after the crisis.
Relation:	環境與管理研究 8卷2期
Appears in Collections:	[The Journals of Nanhua University ] Journal of environment and management [Department of Tourism Management, The M.A. Program of Tourism Management and Leisure Environment Management] Journal of environment and management

Files in This Item:

File	Description	Size	Format
3042080207.pdf		163Kb	Adobe PDF	2053	View/Open
index.html		0Kb	HTML	823	View/Open