The Impact of Global Liquidity on Stock Price

• Main Authors: Hui-Ping Wu, 吳惠萍
• Other Authors: Mei-Se,Chien
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/11646269613545963550

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士在職專班 === 105 === The aim of this paper is to study how global liquidity can impact on stock price. Except for using unit root test, cointegration test, and forecast error variance decomposition to examine the impacts, the recursive cointegration is applied to estimate the dynamic linkage between global liquidity and stock price. The empirical results of this paper are summarized as follows: (1) the empirical results of Johensen’s cointegration confirms there is a cointegrating vector between global liquidity, stock price, and other four macroeconomic variables, which shows increasing global liquidity caused higher stock price from 2001Q1 to 2016Q1. (2) the result of recursive trace statistics finds that the integration of global liquidity, stock price, and other four macroeconomic variables has gradually decreased after the second half of 2011. (3) the results of estimating recursive cointegrating coefficients finds that the relationship between global liquidity and stock price is positive during much of the period, but it displays structural breaks from 2011 to 2014, and the relationships between stock price and other variables also show structural breaks from 2012-2013. (4) According to the results of the variance decomposition, the most exogenous variable is U.S. dollar index, and the most endogenous variable is interest rate. Besides, global liquidity shows the top two highest impacts on glad price and stock price.