Testing Market Efficiency with Respect to Monetary Policy by MARS Approach：The Case of United Kingdom
學年 84
學期 2
發表日期 1996-06-08
作品名稱 Testing Market Efficiency with Respect to Monetary Policy by MARS Approach：The Case of United Kingdom
作品名稱（其他語言）
著者 Ni, Yen-Sen
作品所屬單位 淡江大學管理科學研究所
出版者
會議名稱 第二屆國際動態經濟模型應用研討會=The Second International Conference on Applications of Dynamic Models to Economics
會議地點 桃園縣, 臺灣
摘要 The relationships between stock markets and monetary policies for United kingdom was investigated by applying time-series analysis. Using Granger causality modeling technique, this study tested whether real stock returns(RSR) are caused by M2 growth (GM2). The empirical results shows that stock market is consistent with efficiency, which means that people have rational expectation in the stock market of United Kingdom with respect to monetary policy. However, the residuals of these models tested by Hinich (1982) are not clean, it means that it still have some information in the residuals of these models. Adopting the MARS approach proposed by Friedman (1991) seems to have solved the violation of the Hinich test for the stock data of U.K. in VAR models. It was also found that the lags of GM2 for U.K. is of relative importance in the MARS models. In addition, the residuals of ARCH models, ARCH-M models, and GRACH models considered appropriate for financial data could not pass the Hinich test in my empirical study, indicating that these ARCH-type models lack nonlinear concerns.
關鍵字 貨幣政策;股票市場;英國;時間序列分析;VAR模型;MARS模型;Monetary Policy;Stock Market;United Kingdom;Time Series Analysis;Var Model;Mars Model;Hinich Test
語言 en
收錄於
會議性質 國際
校內研討會地點
研討會時間 19960608~19960609
通訊作者
國別 TWN
公開徵稿 Y
出版型式 紙本
出處 第二屆國際動態經濟模型應用研討會論文集=Proceedings of the Second International Conference on Applications of Dynamic Models to Economics，頁389-404
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