THE LINEAR DEPENDENCE AND FEEDBACK SPECTRA BETWEEN STOCK MARKET AND ECONOMY

Xia Pan ()
Additional contact information
Xia Pan: Faculty of Management and Administration, Macao University of Science and Technology, Avenida Wai Long, Taipa, Macao

International Journal of Theoretical and Applied Finance (IJTAF), 2007, vol. 10, issue 03, 437-447

Abstract: 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.

Keywords: Linear dependence; spectral feedback; multivariate time series; economic barometer (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024907004305
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:10:y:2007:i:03:n:s0219024907004305

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024907004305

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().