The time-series relation between monthly sales and stock prices

DOI

10.2991/jcis.2006.115How to use a DOI?

Keywords

Vector Autoregressive Moving Average Model, leading indicator, sales, stock price

Abstract

Security Exchange Commission in Taiwan requires all public companies to file and announce their monthly sales figure by the of the following month. This requirement has established another channel for market investors to obtain additional accounting information on a more timely basis than quarterly or annual reports. Focuses on several key industries like Textile, Plastics, and Electronics, this studies applies the Vector Autoregressive Moving Average (VARMA) Model on the industrial sales index and industrial stock prices index to observe the dynamic relationship between sales and stock prices. Our empirical result has shown a consistent pattern of relationship between sales and stock prices among all industries in the sample. The fitted industrial VARMA model indicated a one-way causal relationship from sales to stock prices. The sales figure could transmit relevant information to the market and influence the stock prices. On the other hand, stock prices do not carry relevant information about future sales. Therefore, the results of this study support the hypothesis of information content of the monthly sales announcements.

Copyright

© 2006, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yann-ching Tsai
AU  - Hsueh-Fang Chien
AU  - Shu-Hua Lee
PY  - 2006/10
DA  - 2006/10
TI  - The time-series relation between monthly sales and stock prices
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.115
DO  - 10.2991/jcis.2006.115
ID  - Tsai2006/10
ER  -