Abstract: This study applies a quantitative approach which integrates band spectrum analysis and vector autoregression（VAR）to analyze the dynamic causal relationship between stock returns and macroeconomic variables. The lead and lag relationships between the variables are also explored by using cross-spectral analysis. The results indicate that 1）short-run（1 to 2 months） and medium-long-run （20 to 28 months） fluctuations in money growth will have positive effects on stock returns, while stock return fluctuations have only minor effects on money growth; 2）there are no significant relations found between stock returns and inflation; 3） money growth moves about one half to one month ahead of stock returns, while stock returns lead inflation by about one month.
英文關鍵字
Band spectrum analysis, Vector autoregression, Stock returns, Macroeconomic variables
