کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
973361 1479788 2013 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Dynamic relationships between industry returns and stock market returns
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Dynamic relationships between industry returns and stock market returns
چکیده انگلیسی

Different from prior studies which concentrate on the unidirectional impact of industry leading, this study examines the bi-directional dynamical causal relation between industry returns and stock market returns by considering multiple structural breaks for ten major eastern and southern Asia countries. Our results show that finance and consumer service industry returns have significant power in explaining the movements of market returns. Further, we apply logit regressions to explore the determinants of the leading hypotheses and find exchange rate and interest rate are important in explaining the industry–market nexus. In a developed market the industry and the market have feedback relations, but in a highly controlled economy the influence from the stock market dominates.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 26, December 2013, Pages 119–144
نویسندگان
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