Title:	Testing the efficacy of information transmission: is equity style index better than stock market index?
Authors:	Lau, Wee-Yeap Lee, Chin
Citation:	E+M. Ekonomie a Management = Economics and Management. 2015, č. 3, s. 4-17.
Issue Date:	2015
Publisher:	Technická univerzita v Liberci
Document type:	článek article
URI:	http://www.ekonomie-management.cz/download/1441645345_bae5/01_TESTING+THE+EFFICACY+OF+INFORMATION.pdf http://hdl.handle.net/11025/17619
ISSN:	2336-5604 (Online) 1212-3609 (Print)
Keywords:	kompozitní předstihový index;hlavní ekonomické ukazale;obchodní cykly;Grangerova kauzalita
Keywords in different language:	composite leading index;leading economic indicators;business cycles;Granger causality
Abstract in different language:	This 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.
Rights:	© Technická univerzita v Liberci CC BY-NC 4.0
Appears in Collections:	Číslo 3 (2015) Číslo 3 (2015)

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