Testing Market Efficiency Hypothesis with Respect to Government Policies by Frequency Decomposition Approach
學年 85
學期 2
發表日期 1997-07-14
作品名稱 Testing Market Efficiency Hypothesis with Respect to Government Policies by Frequency Decomposition Approach
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 第五屆全球商業環境與策略研討會主題:全球商業合作與競爭=The Fifth Annual Conference on Global Business Environment and Strategy "Global Business Cooperation and Competition"
會議地點 桃園縣, 臺灣
摘要 The concept of market efficiency plays an important role in financial markets. The purpose of this study is to determine if there is any dynamic relationship between stock returns and government policy for international financial markets. Therefore, the relationships between real stock returns and growth of M2 for U.K., France, and Germany were investigated using time series methods to test causality by the following approaches. First of all, VAR approach and the Granger causality test. Second, the frequency docomposition approach and Geweke test. Using both tests, the empirical results showed that real stock returns (RSR) are caused by the growth of M2 (GM2) only in French data. This finding indicates that European stock markets are efficient in absorbing information about monetary policy except France.
關鍵字 市場效率;金融市場;股票報酬;貨幣政策;Market Efficiency;Financial Market;Stock Return;Monetary Policy
語言 en
收錄於
會議性質 國內
校內研討會地點
研討會時間 19970714~19970715
通訊作者
國別 TWN
公開徵稿 Y
出版型式 紙本
出處 第五屆全球商業環境與策略研討會論文集主題:全球商業合作與競爭=Proceedings of the Fifth Annual Conference on Global Business Environment and Strategy "Global Business Cooperation and Competition"，頁141-146
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