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The Linear Dependence And Feedback Spectra Between Stock Market And Economy

  • XIA PAN

    ()

    (Faculty of Management and Administration, Macao University of Science and Technology, Avenida Wai Long, Taipa, Macao)

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    Geweke studied the measure of linear dependence and spectral feedback for grouped multivariate time series. This paper applies the measure of linear dependence and spectral feedback to examining the relationship between grouped variables of economy and stock market indices. Putting economic variables into one group and stock market variables into another, we examine the between-group relationship within the US, within Japan, and within the European Union. Using a self-developed computing program, the feedback spectra for grouped variables are calculated and displayed. Although risk might exist in that the significance levels for test may not be reliable because the feedback spectra are measured on possibly nonstationary variables in level, the patterns of the feedback spectra still provide information about the cyclical effect between the variable groups.

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    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

    Volume (Year): 10 (2007)
    Issue (Month): 03 ()
    Pages: 437-447

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    Handle: RePEc:wsi:ijtafx:v:10:y:2007:i:03:p:437-447
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