The Nonlinear Causal Relationship between Each of the Book to Price Ratio, Earning to Price Ratio, and Cash Flow to Price Ratio, and the Stock Price of lululemon

• Main Authors: LIAO, LI-SHU, 廖麗淑
• Other Authors: Nieh, Chien-Chung
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/s3z9v8

碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 106 === This study employs threshold auto regression (TAR) and threshold error-correction model (TECM) elaborated by Enders and Granger(1998) and Enders and Siklos(2001) to empirically investigate the nonlinear causal relationship between each of the three ratios (Book to Price (B/P), Earning to Price (E/P) and Cash Flow to Price (CF/P)) and the stock price of lululemon from 2008 to 2017. The empirical evidence suggests that there is an asymmetric threshold cointegration relationship between each of B/P, E/P and CF/P and the stock price of lululemon. The further findings from TECM Granger-Causality tests show that there exists long-run causal relationship of the stock price to CF/P, when the increase of CF/P higher than the threshold value of CF/P to stock price, but no short-run causal relationship of CF/P to the stock price. Besides, neither short-run nor long-run causal relationship of stock to B/P, E/P, and CF/P exists. However, B/P to the stock price, E/P to the stock price, and CF/P to the stock price are all with long-run causal relationship, and regarding the short-run causal relationship, there is only B/P to the stock price of lululemon.