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

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题名:	The Macroeconomic Determinants of Stock Price Volatility: Evidence From Taiwan, South Korea, Singapore and Hong Kong
作者:	Song-Zan Chiou-Wei
关键词:	stock price volatility SVAR cointegration ECM
日期:	2007-12-01
上传时间:	2010-12-23 09:39:01 (UTC+8)
出版者:	南華大學環境管理研究所
摘要:	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.
關聯:	環境與管理研究 8卷2期
显示于类别:	[本校期刊] 環境與管理研究 [旅遊管理學系(旅遊管理碩士班)] 環境與管理研究

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