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Liquidity Effect of Stock Market: Evidence from China

Xu, Dandan (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.
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author
Xu, Dandan
supervisor
organization
year
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},
  keyword      = {Exchange Rate,liquidity effect,monetary supply,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {eng},
  note         = {Student Paper},
  title        = {Liquidity Effect of Stock Market: Evidence from China},
  year         = {2009},
}