The relationship between macroeconomic variables and the stock market - Empirical evidence from China
(2016) NEKN01 20162Department of Economics
- Abstract (Swedish)
- The relationship between macroeconomic variables and the stock market index has been
studied by a large number of academics and practitioners over the last two decades. However,even though the stock market in China has been in rapid development, the similar studies concerning China remain relatively insufficient. This study examines the relationship between the China’s stock market and a set of macroeconomic variables by using the monthly data from 2005 to 2015. Several econometrics techniques have been utilized in this study including the Granger-causality approach, the cointegration approach and the vector error correction model (VECM). The results of the Granger-causality test revealed the causal relationship between the selected... (More) - The relationship between macroeconomic variables and the stock market index has been
studied by a large number of academics and practitioners over the last two decades. However,even though the stock market in China has been in rapid development, the similar studies concerning China remain relatively insufficient. This study examines the relationship between the China’s stock market and a set of macroeconomic variables by using the monthly data from 2005 to 2015. Several econometrics techniques have been utilized in this study including the Granger-causality approach, the cointegration approach and the vector error correction model (VECM). The results of the Granger-causality test revealed the causal relationship between the selected macroeconomic variables and the stock price index in China. The results of the cointegration test and the VECM proved the long-run impact of the selected macroeconomic variables on the stock price index in China. Nevertheless, in the short-run, none of the selected variables affect the stock price index. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8894581
- author
- Chen, Jing Hu I LU
- supervisor
- organization
- course
- NEKN01 20162
- year
- 2016
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- macroeconomic variables, stock market, China, Granger-causality, cointegration
- language
- English
- id
- 8894581
- date added to LUP
- 2016-11-03 15:41:44
- date last changed
- 2016-11-03 15:41:44
@misc{8894581, abstract = {{The relationship between macroeconomic variables and the stock market index has been studied by a large number of academics and practitioners over the last two decades. However,even though the stock market in China has been in rapid development, the similar studies concerning China remain relatively insufficient. This study examines the relationship between the China’s stock market and a set of macroeconomic variables by using the monthly data from 2005 to 2015. Several econometrics techniques have been utilized in this study including the Granger-causality approach, the cointegration approach and the vector error correction model (VECM). The results of the Granger-causality test revealed the causal relationship between the selected macroeconomic variables and the stock price index in China. The results of the cointegration test and the VECM proved the long-run impact of the selected macroeconomic variables on the stock price index in China. Nevertheless, in the short-run, none of the selected variables affect the stock price index.}}, author = {{Chen, Jing Hu I}}, language = {{eng}}, note = {{Student Paper}}, title = {{The relationship between macroeconomic variables and the stock market - Empirical evidence from China}}, year = {{2016}}, }