Advanced

Comparison of Macroeconomic Factors Explanatory Power Between Chinese and Swedish Stock Market

Cheng, Chen LU and Liu, Shangjie LU (2012) BUSN88 20121
Department of Business Administration
Abstract
In order to seek the difference between Chinese and Swedish stock market, this thesis makes a comparison of explanatory power of macroeconomic factors between the stock markets in respective country. The vector autoregressive (VAR) models are implemented to analyze the relationship among the market returns and macroeconomic variables, i.e., GDP, CPI, exchange rate, unemployment rate and interbank offered rate in China and Sweden. The empirical result illustrated that Chinese stock market is more sensitive to the changes of macroeconomic variables than Swedish stock market. To make a clear interpretation for the estimation result, impulse responses functions and variance decompositions are applied to support the empirical test. Moreover, we... (More)
In order to seek the difference between Chinese and Swedish stock market, this thesis makes a comparison of explanatory power of macroeconomic factors between the stock markets in respective country. The vector autoregressive (VAR) models are implemented to analyze the relationship among the market returns and macroeconomic variables, i.e., GDP, CPI, exchange rate, unemployment rate and interbank offered rate in China and Sweden. The empirical result illustrated that Chinese stock market is more sensitive to the changes of macroeconomic variables than Swedish stock market. To make a clear interpretation for the estimation result, impulse responses functions and variance decompositions are applied to support the empirical test. Moreover, we analyzed the potential reasons that may cause the differences between Chinese and Swedish stock markets. (Less)
Please use this url to cite or link to this publication:
author
Cheng, Chen LU and Liu, Shangjie LU
supervisor
organization
course
BUSN88 20121
year
type
H1 - Master's Degree (One Year)
subject
keywords
Chinese and Swedish stock market, macroeconomic variables, VAR, impulse responses functions, variance decompositions
language
English
id
2740463
date added to LUP
2012-06-27 14:15:24
date last changed
2012-06-27 14:15:24
@misc{2740463,
  abstract     = {In order to seek the difference between Chinese and Swedish stock market, this thesis makes a comparison of explanatory power of macroeconomic factors between the stock markets in respective country. The vector autoregressive (VAR) models are implemented to analyze the relationship among the market returns and macroeconomic variables, i.e., GDP, CPI, exchange rate, unemployment rate and interbank offered rate in China and Sweden. The empirical result illustrated that Chinese stock market is more sensitive to the changes of macroeconomic variables than Swedish stock market. To make a clear interpretation for the estimation result, impulse responses functions and variance decompositions are applied to support the empirical test. Moreover, we analyzed the potential reasons that may cause the differences between Chinese and Swedish stock markets.},
  author       = {Cheng, Chen and Liu, Shangjie},
  keyword      = {Chinese and Swedish stock market,macroeconomic variables,VAR,impulse responses functions,variance decompositions},
  language     = {eng},
  note         = {Student Paper},
  title        = {Comparison of Macroeconomic Factors Explanatory Power Between Chinese and Swedish Stock Market},
  year         = {2012},
}