Correlation between Stock Market and Monetary Market: Empirical Study of Hong Kong Market

Author

Qing-min, Hao ; He-rui, Cui

Author_Institution

Sch. of Manage., Tianjin Univ.

fYear

2006

fDate

5-7 Oct. 2006

Firstpage

1475

Lastpage

1480

Abstract

To explore the complicated correlation between stock market and policy embedded monetary market in Hong Kong. Smooth transition regression stochastic volatility model is use to examine the real world time series like Hang Seng stock index and interbank offered interest rate. The results show nonlinear and negative relationship existed between stock index and interbank offered rate. When transition function in the nonlinear part is active the equity premium will be positive and when it is not active the model is in essence linear and the premium will be negative. Stock index is influenced greater by itself than interest rate, the results presents evidence of market efficiency in Hong Kong

Keywords

econometrics; regression analysis; stochastic processes; stock markets; time series; Hang Seng stock index; Hong Kong; correlation analysis; equity premium; interbank offered interest rate; policy embedded monetary market; smooth transition regression stochastic volatility model; stock market; time series; Economic indicators; Energy management; Environmental economics; Frequency; Government; Power generation economics; Stochastic processes; Stock markets; Switches; Vectors; Interest rate; Nonlinearity; Smooth transition regression stochastic volatility models; Stock index;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on

Conference_Location

Lille

Print_ISBN

7-5603-2355-3

Type

conf

DOI

10.1109/ICMSE.2006.314262

Filename

4105125