Σχέσεις αιτιότητας μεταξύ πραγματικών αποδόσεων των μετοχών και επιλεγμένων μακροοικονομικών μεταβλητών: στοιχεία από χώρες της Ασίας και του Ειρηνικού

Abstract

Using a multivariate vector auto regression (VAR) approach, this paper investigated the causal relations and dynamic interactions among real stock returns, industrial production growth, M1 growth and inflation in twelve selected countries of the Asia Pacific Basin area. Our findings show that real stock returns granger cause industrial production growth in every country we examine while the opposite occurs in 9 out of the 12 countries. In general our findings indicate that stock markets are efficient in some of these markets while in other they are not.