A Study of The Relationship between Asia stock markets and Macroeconomic Variables: Evidence on Four Asian Tigers and China

• Main Authors: Wu, Ming-Yi, 吳明義
• Other Authors: Chiang, Gengnan
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/x4mkzn

博士 === 逢甲大學 === 金融博士學位學程 === 106 === As the economy is gradually becoming more internationalized and the volatility of the stock market is also affected by the state of the economy in other parts of the world, we have targeted the major Asian countries (China, Hong Kong, Taiwan, South Korea and Singapore) for a study of the relationship between the overall economic performance of Asia's major markets and the stock markets, using the manufacturing purchasing managers' index (PMI) as an overall economic indicator and the CSI 300 Index , Hong Kong Hang Seng Index , iShares MSCI Taiwan ETF, iShares MSCI Korea ETF and iShares MSCI Singapore ETF as stock market indicators. In this study, the monthly data of the manufacturing purchasing managers' index (PMI) in major Asian countries from January 2006 to December 2016 and monthly closing prices of the CSI 300 Index ETF, Hong Kong Hang Seng Index ETF, iShares MSCI Taiwan ETF, iShares MSCI Korea ETF and iShares MSCI Singapore ETF were used as sample data for analysis and test, using PP unit root test, VAR vector autoregression model estimation, VAR Granger causality test, impulse response analysis and forecast error variance decomposition methods, etc. The study findings indicate: In the analysis of the PMI and Stock price, ETF for the Four Asian Tigers, the manufacturing purchasing managers' index for Taiwan has a positive influence on the manufacturing purchasing managers' indices for South Korea and Singapore, while Taiwan's manufacturing purchasing managers' index, on the contrary, was relatively influenced by Hong Kong’s manufacturing purchasing managers' index. After joining the China factor, however, the relationship has changed and it indicated that the manufacturing purchasing managers' indices for China had a positive influence on the manufacturing purchasing managers' indices for Taiwan and Hong Kong. In addition, Hong Kong’s PMI has no influence on the Hong Kong Index. The CSI 300 Index ETF is independent. In the original analysis of PMI and ETF for the Four Asian Tigers, Taiwan’s manufacturing purchasing managers' index has a positive and leading influence on the iShares MSCI Taiwan ETF. However, this relationship disappears after joining the China factor. Moreover, the Chinese manufacturing purchasing managers’ index also replaced the Hong Kong manufacturing purchasing managers’ index has a leading positive impact on Taiwan's manufacturing purchasing managers’ index.