التفاصيل البيبلوغرافية
| العنوان: |
Forward-looking agents and macroeconomic determinants of the equity price in a small open economy. |
| المؤلفون: |
Kia, Amir1 akia@emory.edu |
| المصدر: |
Applied Financial Economics. Jan2003, Vol. 13 Issue 1, p37-54. 18p. 6 Charts. |
| مصطلحات موضوعية: |
Stock prices, Econometric models, Economic equilibrium, Monetary policy, Macroeconomics, Stock exchanges, Financial markets |
| مصطلحات جغرافية: |
Canada, United States |
| مستخلص: |
This article estimates a macro-determinant model of stock price using monthly data on Canadian and US markets. It is found that the commodity price is also an important component of stock prices. Economic agents in Canadian stock markets are forward looking and their reactions to equilibrium errors are asymmetric. It is also found that deviations from fundamental price are short-lived. Furthermore, among long-run macro-determinants of stock price, at least two long-run stationary relationships exist: uncovered interest parity and a long-run Canadian monetary policy reaction function. [ABSTRACT FROM AUTHOR] |
| قاعدة البيانات: |
Finance Source |