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

dc.contributor.authorLau, Wee-Yeap
dc.contributor.authorLee, Chin
dc.contributor.otherEkonomická fakultacs
dc.description.abstractThis 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 efficacy 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 flow 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 efficacy 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 financial crisis.en
dc.format.extent4-17 s.cs
dc.publisherTechnická Univerzita v Libercics
dc.publisherTechnical university of Liberec, Czech Republicen
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dc.relation.ispartofEkonomie a Managementcs
dc.relation.ispartofEconomics and Managementen
dc.rightsCC BY-NC
dc.subjectMarketing communicationen
dc.subjectSocial mediaen
dc.subjectCommunication modelen
dc.subjectConsumer satisfactionen
dc.subjectFactor analysisen
dc.subjectCommunication toolsen
dc.subjectRelationship buildingen
dc.titleTesting the efficacy of information transmission: is equity style index better than stock market index?en
local.facultyFaculty of Economics
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