DYNAMIC RELATIONSHIP BETWEEN EQUITY PRICES AND MACROECONOMIC CONDITIONS: EVIDENCE FROM EMERGING MARKETS

• 발행기관: People & Global Business Association
• 저자명: Bahram Adrangi Kambiz Raffiee Todd M Shank
• 간행물 정보: 『Global Business and Finance Review』Vol.6 No.2, 77~94쪽, 전체 17쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2001.12.31

영문 초록

In this paper we consider two emerging equity markets of Chile and Mexico. The purpose is to examine the responses of equity prices to macroeconomic shocks and policy changes. Employing cointegration test and impulse response analysis, the degree of weak form efficiency in these markets is also examined. Our findings indicate that although equity markets of Mexico and Chile are becoming increasingly more efficient in incorporating the past information, they do not reflect shocks to macroeconomic conditions rapidly. Empirical findings also show that the equity market of Chile has achieved higher degree of efficiency than the equity market of Mexico. These findings have implications for individual and institutional investors in the U.S. and domestic policy makers of these markets.

목차

Abstract

INTRODUCTION

THEORETICAL DISCUSSION

DATA AND EMPIRICAL METHODOLOGY

EMPIRICAL RESULTS

SUMMARY AND CONCLUSIONS

REFERENCES