Liquidity Effect of Stock Market: Evidence from China
(2009)Department of Economics
- Abstract
- In this paper, whether Chinese stock market has long-term and short-term liquidity effect is discussed. Traditional use of factors indicating different level of monetary supply is not sufficient in explaining short-term liquidity. Other factors such as foreign exchange reserve, private saving, deposit reserve rate all contribute to the liquidity effect after the split-share reform. Also, the nominal exchange rate of Chinese Yuan affects stock prices both short-term and long-term. However, the result is not consistent among different time frames. Cointegration test, Granger-Causality test, Impulse response function and Variance Decomposition are applied in this paper.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1644264
- author
- Xu, Dandan
- supervisor
- organization
- year
- 2009
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Exchange Rate, liquidity effect, monetary supply, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
- language
- English
- id
- 1644264
- date added to LUP
- 2009-06-17 00:00:00
- date last changed
- 2010-08-05 14:29:53
@misc{1644264, abstract = {{In this paper, whether Chinese stock market has long-term and short-term liquidity effect is discussed. Traditional use of factors indicating different level of monetary supply is not sufficient in explaining short-term liquidity. Other factors such as foreign exchange reserve, private saving, deposit reserve rate all contribute to the liquidity effect after the split-share reform. Also, the nominal exchange rate of Chinese Yuan affects stock prices both short-term and long-term. However, the result is not consistent among different time frames. Cointegration test, Granger-Causality test, Impulse response function and Variance Decomposition are applied in this paper.}}, author = {{Xu, Dandan}}, language = {{eng}}, note = {{Student Paper}}, title = {{Liquidity Effect of Stock Market: Evidence from China}}, year = {{2009}}, }