Testing Market Efficiency Hypothesis with Respect to Government Policies by Frequency Decomposition Approach

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Title:	Testing Market Efficiency Hypothesis with Respect to Government Policies by Frequency Decomposition Approach
Authors:	Ni, Yen-Sen
Contributors:	淡江大學管理科學研究所
Keywords:	市場效率;金融市場;股票報酬;貨幣政策;Market Efficiency;Financial Market;Stock Return;Monetary Policy
Date:	1997-07
Issue Date:	2014-02-12 02:21:31 (UTC+8)
Abstract:	The concept of market efficiency plays an important role in financial markets. The purpose of this study is to determine if there is any dynamic relationship between stock returns and government policy for international financial markets. Therefore, the relationships between real stock returns and growth of M2 for U.K., France, and Germany were investigated using time series methods to test causality by the following approaches. First of all, VAR approach and the Granger causality test. Second, the frequency docomposition approach and Geweke test. Using both tests, the empirical results showed that real stock returns (RSR) are caused by the growth of M2 (GM2) only in French data. This finding indicates that European stock markets are efficient in absorbing information about monetary policy except France.
Relation:	第五屆全球商業環境與策略研討會論文集主題:全球商業合作與競爭=Proceedings of the Fifth Annual Conference on Global Business Environment and Strategy "Global Business Cooperation and Competition"，頁141-146
Appears in Collections:	[Department of Management Sciences] Proceeding

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