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Dynamic Interactions Among Macroeconomic Variables and Stock Indexes in Taiwan, Hong Kong, and China

Author

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  • Syouching Lai
  • Teng Yuan Cheng
  • Hung Chih Li
  • Sheng-Peng Chien

Abstract

This study analyzes dynamic interactions among macroeconomic variables and the stock markets of Taiwan, Hong Kong, and China by incorporating the long-term and short-term comovements, which can shed some light on the long-term and short-term market efficiency/inefficiency in the region. The number of common cycles is investigated in these markets and each stock index series is decomposed into its trend and cyclical components. The authors observe that foreign stock markets have greater influence on the domestic market than domestic macroeconomic variables do. This implies that policymakers need to consider not only macroeconomic variables but also the effects of markets on one another when markets are integrated.

Suggested Citation

  • Syouching Lai & Teng Yuan Cheng & Hung Chih Li & Sheng-Peng Chien, 2013. "Dynamic Interactions Among Macroeconomic Variables and Stock Indexes in Taiwan, Hong Kong, and China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S4), pages 213-235, September.
    • Handle: RePEc:mes:emfitr:v:49:y:2013:i:s4:p:213-235
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    Cited by:

    1. Ronit Mukherji, 2015. "Stock Market Efficiency in Developing Economies," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 9(4), pages 402-429, November.
    2. Karamti, Chiraz & Jeribi, Ahmed, 2023. "Stock markets from COVID-19 to the Russia–Ukraine crisis: Structural breaks in interactive effects panels," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).

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