A Study of Non-linear Relationship between Price Index and Stock Index Returns

• Main Authors: Xie, Yi-Rong, 謝依容
• Other Authors: Goo, Yeong-Jia
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/00105167458292269930

碩士 === 國立臺北大學 === 企業管理學系 === 101 === Commodity prices have been further affected with the rising prices of petroleum, electricity and raw materials. Therefore, stock market performances have been influenced with the worsening living conditions, rising entrepreneurial costs, and decreasing their revenues (profits). Stock market has been considered to be a sensitive market which is affected by several factors, including macroeconomic, political, human manipulative factors, etc. To be specified with regard to macroeconomic, it is composed of Real Gross National Product (real GNP), Money Supply, Interest Rates, Foreign Exchange Rates, and Inflation Rate, etc. It is shown that rising commodity prices are accompanied with high stock prices. In other words, bull markets enable investors to make huge profits, facilitate general expenditure which lead to high inflation. On the contrary, the Central Bank adopted tight money policy-raising interest rates to decrease the amount of money in the market which lead the stock prices decrease.The research is an empirical study on the Non-linear relationship between consumer price index and stock index returns. The study covers the period from Jan. 1997. to June. 2012. The sample has 186 monthly data. The study utilizes Unit Root, test, Johansen cointegration test, Non-linear threshold autoregression model(TAR), momentum TAR model(M-TAR) and Granger causality test to test the relationship of two variable. The main results of the study are summarized as follows： 1.The results of unit roots test in the time series indicates that two series are integrated of order 0, I(0).From the results of Johansen cointegration test, there is an underlying long-term relationship between consumer price index and stock index returns. 2.From the results of TAR and M-TAR model, we find that consumer price index and stock index returns doesn’t exist asymmetric relationship. 3.From the Granger causality test, we find the relationship between consumer price index and stock index returns is one-way causality, that means stock index returns is affected the consumer price index.