AN IMPULSE RESPONSE FUNCTIONS AND VARIANCE DECOMPOSITIONS ANALYSIS OF INTERNATIONAL EQUITIES

• 발행기관: People & Global Business Association
• 저자명: Dimitrios Tsoukalas
• 간행물 정보: 『Global Business and Finance Review』Vol.6 No.1, 69~87쪽, 전체 18쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2001.06.30

영문 초록

We investigate the components of equity returns across three major national stock markets using explanatory variables, dividend-price ratios and dividend growth rates. The analysis employs the structural Vector Autoregressive Approach (SVAR) to a data set for the period of January 1955 to December 1999. In general, we conclude that dynamic stock return behavior is accounted for primarily by innovations in dividend-price ratios. In all markets stock returns are characterized by the same temporary mean reverting components. These findings, however, cannot be viewed as evidence against market efficiency. We consider the "information" hypothesis of dividends to justify the temporary mean reverting components of stock returns.

목차

Abstract

INTRODUCTION

METHODOLOGY

DATA ANALYSIS

ESTIMATION AND EMPIRICAL RESULTS

DISCUSSIONS-IMPLICATIONS

REFERENCES