Testing the efficacy of information transmission: is equity style index better than stock market index?

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dc.contributor.authorLau, Wee-Yeap
dc.contributor.authorLee, Chin
dc.date.accessioned2016-01-26T08:40:10Z
dc.date.available2016-01-26T08:40:10Z
dc.date.issued2015
dc.description.abstract-translatedThis paper examines the ability of equity style to predict future movement of composite leading economic index in a multivariate Granger causality framework. By comparing the ef fi cacy of information transmission between equity style index and Bursa Malaysia Industrial Index, our results show that there is unidirectional causality from growth style to leading economic index. Second, there is also unidirectional fl ow from growth style to Bursa Malaysia Industrial Index. Third, there is a bidirectional relationship between growth style and KLCI broad market index. Finally, there is bidirectional causality between both growth style and value style. Further analysis from cross-correlation function reveals that growth style index is better than Bursa Malaysia Industrial Index. The former provides accurate and stronger cross-correlation with leading economic index. From these empirical evidences, it can be concluded that growth style index is a leading indicator which has more economic content than stock market index. It is better than stock market index in its ef fi cacy of information transmission. The study brings to the awareness to policy makers and practitioners of the usefulness of equity style in constructing future leading economic index and early warning system of fi nancial crisis.en
dc.format14 s.cs
dc.format.mimetypeapplication/pdf
dc.identifier.citationE+M. Ekonomie a Management = Economics and Management. 2015, č. 3, s. 4-17.cs
dc.identifier.doidx.doi.org/10.15240/tul/001/2015-3-001
dc.identifier.issn2336-5604 (Online)
dc.identifier.issn1212-3609 (Print)
dc.identifier.urihttp://www.ekonomie-management.cz/download/1441645345_bae5/01_TESTING+THE+EFFICACY+OF+INFORMATION.pdf
dc.identifier.urihttp://hdl.handle.net/11025/17619
dc.language.isoenen
dc.publisherTechnická univerzita v Libercics
dc.relation.ispartofseriesE+M. Ekonomie a Management = Economics and Managementcs
dc.rights© Technická univerzita v Libercics
dc.rightsCC BY-NC 4.0cs
dc.rights.accessopenAccessen
dc.subjectkompozitní předstihový indexcs
dc.subjecthlavní ekonomické ukazalecs
dc.subjectobchodní cyklycs
dc.subjectGrangerova kauzalitacs
dc.subject.translatedcomposite leading indexen
dc.subject.translatedleading economic indicatorsen
dc.subject.translatedbusiness cyclesen
dc.subject.translatedGranger causalityen
dc.titleTesting the efficacy of information transmission: is equity style index better than stock market index?en
dc.typečlánekcs
dc.typearticleen
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen

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Číslo 3 (2015)
Číslo 3 (2015)