Non-Linear Panel Threshold Effect Analysis between Money Supply and Stock Return

• Main Authors: Ming-Feng Wu, 吳明峯
• Other Authors: CHIEN-CHUNG NIEH
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/13961058310016623643

碩士 === 淡江大學 === 國際商學碩士在職專班 === 94 === This study discusses the threshold effect between variation of money supply and stock return. By using the panel threshold autoregressive model, I would like to test the asymmetrical nonlinear relationships that have different effects of variation of money supply on stock return in two regimes. The main finding is that there is a double-threshold effect between variation of money supply and stock return, and the two threshold values are 2.39 and 5.58. The effect of coefficients ( , , and )of three regimes are all positive, and this result suggests that increasing of the money supply could increase the energy of stock price index. It reveals the policy of money supply actually elevated the stock return. However, this study also finds that the increasing amplitude will decrease when the threshold value increases. In addition, it shows that negative correlation of foreign exchange and exporting sum but positive correlation of industrial production index and stock return. The consumer price index just has small influence on stock return. It displays that expanding money policy definitely raises stock return for investors, but over variation will drop down the interests. We suggest that investors should observe changes of monetary demand with proper limit to achieve maximum stock return.