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The relationship between macroeconomic variables and the stock market - Empirical evidence from China

Chen, Jing Hu I LU (2016) NEKN01 20162
Department 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)
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author
Chen, Jing Hu I LU
supervisor
organization
course
NEKN01 20162
year
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},
  keyword      = {macroeconomic variables,stock market,China,Granger-causality,cointegration},
  language     = {eng},
  note         = {Student Paper},
  title        = {The relationship between macroeconomic variables and the stock market - Empirical evidence from China},
  year         = {2016},
}