Testing the relationship between stock prices and interest rates : a case study of Hong Kong stock market | |
| Author | Poon, Chung Wing |
| Call Number | AIT Thesis no. IE-87-07 |
| Subject(s) | Stock-exchange--Hong Kong Interest rates--Hong Kong |
| Note | A thesis submitted in partial fulfillment of the requirements for the degree of Master of Engineering, School of Engineering and Technology |
| Publisher | Asian Institute of Technology |
| Series Statement | Thesis ; no. IE-87-07 |
| Abstract | This study examines the relationship between the inter-bank interest rates and stock prices. Three models are adopted, namely Efficient Market Model (EMM), Fair Game Model (FGM) and Equity Pricing Model (EPM). Using the first two models, an attempt was made to test the impact of the growth and growth rates of interest rates with the market prices of stocks. Three trading sectors were selected for the tests, namely, Banking and Financial, Conglomerate and Commercial Enterprise, and Real Estate and Property. Comparisons of both monthly and quarterly results indicate that the EMM's results are better than the FGM's results in all three sectors, except for the quarterly result of Real Estate and Property. From the results of EPM, when interest rate changes, prices do not response immediately, since a time lag is observed. The study also indicates that local interest rates have little impact on stock prices in the Hong Kong stock market, and can thus conclude that local interest rates alone have less impact on the stock market price when the market becomes internationalized. |
| Year | 1987 |
| Corresponding Series Added Entry | Asian Institute of Technology. Thesis ; no. IE-87-07 |
| Type | Thesis |
| School | School of Engineering and Technology |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Industrial Engineering (IE) |
| Chairperson(s) | Tang, John C.S. ; |
| Examination Committee(s) | Frausum, Yves G. Van ;Vanchai Ariyabuddhiphongs ; |
| Scholarship Donor(s) | New Zealand Government; |
| Degree | Thesis (M.Eng.) - Asian Institute of Technology, 1987 |