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The impact of social financing scale on stock price -- Based on the perspective of industry research

Zhang, Zheyuan LU and Li, Yuxuan LU (2021) NEKN02 20211
Department of Economics
Abstract
Abstract
This thesis first analyzes the direct and indirect effects of social financing scale on the stock market based on reviewing and summarizing the existing research. Then, studies on the different effects of social financing scale on different industries from the perspective of industry characteristics are also conducted. An autoregressive model is built using the social financing scale data from January 2012 to December 2020, the Shanghai Stock Exchange Index and 14 industry indexes. At the same time, on the basis of the model, Granger causality test, impulse response analysis and other detection tools are used to further analyze the relationships between time series variables.
Finally, the following conclusions are drawn: 1. The... (More)
Abstract
This thesis first analyzes the direct and indirect effects of social financing scale on the stock market based on reviewing and summarizing the existing research. Then, studies on the different effects of social financing scale on different industries from the perspective of industry characteristics are also conducted. An autoregressive model is built using the social financing scale data from January 2012 to December 2020, the Shanghai Stock Exchange Index and 14 industry indexes. At the same time, on the basis of the model, Granger causality test, impulse response analysis and other detection tools are used to further analyze the relationships between time series variables.
Finally, the following conclusions are drawn: 1. The impact of the social financing scale on the stock prices varies from different industries. The stock index of capital-intensive industries is more sensitive to the changes in the social financing scale while the impact of the social financing scale on the stock index of cyclical industries is greater than that of non-cyclical industries. 2. There is a limited degree of causal relationship between the monthly growth rate of social financing scale and the return rate of the Shanghai Composite Index and the return rate of the 14 Shenwan industry stock indexes. (Less)
Please use this url to cite or link to this publication:
author
Zhang, Zheyuan LU and Li, Yuxuan LU
supervisor
organization
course
NEKN02 20211
year
type
H1 - Master's Degree (One Year)
subject
keywords
Social financing scale, Autoregressive model, Stock market
language
English
id
9052031
date added to LUP
2021-10-26 08:18:52
date last changed
2021-10-26 08:18:52
@misc{9052031,
  abstract     = {{Abstract
This thesis first analyzes the direct and indirect effects of social financing scale on the stock market based on reviewing and summarizing the existing research. Then, studies on the different effects of social financing scale on different industries from the perspective of industry characteristics are also conducted. An autoregressive model is built using the social financing scale data from January 2012 to December 2020, the Shanghai Stock Exchange Index and 14 industry indexes. At the same time, on the basis of the model, Granger causality test, impulse response analysis and other detection tools are used to further analyze the relationships between time series variables.
Finally, the following conclusions are drawn: 1. The impact of the social financing scale on the stock prices varies from different industries. The stock index of capital-intensive industries is more sensitive to the changes in the social financing scale while the impact of the social financing scale on the stock index of cyclical industries is greater than that of non-cyclical industries. 2. There is a limited degree of causal relationship between the monthly growth rate of social financing scale and the return rate of the Shanghai Composite Index and the return rate of the 14 Shenwan industry stock indexes.}},
  author       = {{Zhang, Zheyuan and Li, Yuxuan}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{The impact of social financing scale on stock price -- Based on the perspective of industry research}},
  year         = {{2021}},
}