The Study on the Relation between Money Supply and Classified Stock Price Index

• Main Authors: Shiau-Lung Ding, 丁小龍
• Other Authors: Ho-Chyuan Chen
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/43464189267133217338

碩士 === 國立高雄第一科技大學 === 金融營運所 === 93 === The purpose of this research is to discuss the study on the relation between money supply and classified stock price index, and the sample of article is monthly data of 84/01 to 93/12. We adopt the maximum likelihood method developed by Johansen and vector error-correction model to understand the long-term and short-term relationship between variables. Finally, we use granger causality to test the relationship between money supply and classified stock price. In the M1B, the empirical results showed that long-term there exists co-integration relationship in the plastic, textile fiber, and electronic industries. In the M2, the empirical results showed that there exists co-integration relationship in any sample of classified stock price. We show that ECM confirms a short-term imbalance between the M1B, M2, and classified stock price, and thus an adjustment to long-term equilibrium occurs. We find that the M1B does the adjustment in plastic, textile fiber, and electronic industries. On the other hand, M2 does the adjustment in the sample of classified stock price. Granger Causality Test shows that food and M1B exists a feedback relationship, however, between food and M2, M2 takes the lead. In plastic or textile fiber or banking and M1B, M1B takes the lead, however, between they and M2 exists an independency relationship. In steel and money supply, M1B or M2 takes the lead. In electronic and M1B or M2, they exists an independency relationship.