A Cointegration Analysis Of The Relations Between Macroeconomic Variables And The China Stock Market PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download A Cointegration Analysis Of The Relations Between Macroeconomic Variables And The China Stock Market PDF full book. Access full book title A Cointegration Analysis Of The Relations Between Macroeconomic Variables And The China Stock Market.
Author | : Jianwei Yang |
Publisher | : |
Total Pages | : 30 |
Release | : 2003 |
Genre | : |
ISBN | : |
Download A Cointegration Analysis of the Relations Between Macroeconomic Variables and the China Stock Market Book in PDF, ePub and Kindle
Author | : Taibo Mu |
Publisher | : |
Total Pages | : 53 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download A Study on Dynamic Relationship Between Macroeconomic Variables and Stock Markets in the United States, Germany, and Hong Kong Book in PDF, ePub and Kindle
This empirical study investigates the relationship between selected macroeconomic variables and the stock markets in the US, Germany, and Hong Kong. The seven chosen macroeconomic variables are interest rate, inflation, oil price, unemployment rate, industrial production index, money supply, and exchange rate. In this study, Pearson's correlation, unit root tests, Granger causality test, Johansen cointegration test, and regression model are used to identify how these macroeconomic variables impact on S&P500 in the United States, DAX 30 in Germany, and Hang Seng Index in Hong Kong with the monthly series for a period of 18 years from July 1997 to July 2015. The empirical results show that there are short-term causal relationships and long-term equilibrium relationships between macroeconomic variables and the stock markets in these three countries.
Author | : Jiayan Zhao |
Publisher | : |
Total Pages | : 52 |
Release | : 2003 |
Genre | : |
ISBN | : |
Download Relationship Between Stock Returns and Macroeconomic Variables: an Analysis of Chinese Stock Market Book in PDF, ePub and Kindle
Author | : Khalid Ashraf Chisti |
Publisher | : |
Total Pages | : 15 |
Release | : 2020 |
Genre | : |
ISBN | : |
Download An Analysis of Interaction Among Macroeconomic Variables Through Cointegration and Causality Approach Book in PDF, ePub and Kindle
This paper aims at examining the relationship between stock market prices (Nifty 50) India & macroeconomic variables (Exchange rate, Foreign Institutional Investment and Crude oil prices) for the period 2007-08 Q1 to 2017-18 Q3. In order to achieve the objectives of the study, the researchers employed Granger Causality, multiple regression and Johansen's Cointegration test. The results confirmed that there is a unidirectional relationship between crude oil prices and stock prices. Further the study confirms that FII and Oil prices are individually capable of influencing stock prices. Johansen's Cointegration test exhibits the absence of long run relationship between stock prices and macroeconomic variables (Exchange Rate and Oil prices). However, the findings put forth by the present study affirmed that Foreign Institutional Investment and Oil prices are capable of individually influencing Stock prices of Nifty 50. The null hypothesis of regression model, that is, macroeconomic variables have no impact on stock prices has been rejected because the f-statistic shows that the macroeconomic variables have statistically significant relationship with stock prices (Nifty 50).
Author | : Nicolaas Groenewold |
Publisher | : Edward Elgar Publishing |
Total Pages | : 272 |
Release | : 2004 |
Genre | : Business & Economics |
ISBN | : |
Download The Chinese Stock Market Book in PDF, ePub and Kindle
The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s. The authors address a variety of critical topics to assess the efficiency, predictability and profitability of the Chinese stock-market. They carefully examine the evolution and performance of the market over the past ten years and measure its level of efficiency using an array of empirical studies. The results reveal that not only is the stock market far from efficient but that it has also failed to properly integrate with other regional markets. Thus, the authors propose further reforms which they argue are necessary for the stock market to realize its full potential contribution to the operation of China's financial markets and to its continuing economic development. The stock market in China will undoubtedly grow in importance and international influence during the next ten years. As such, this valuable new book will be required reading for economic researchers, business economists and market analysts, as well as academics with an interest in Chinese business and Asian finance.
Author | : Ray Y. Chou |
Publisher | : International Monetary Fund |
Total Pages | : 22 |
Release | : 1994-08 |
Genre | : Business & Economics |
ISBN | : |
Download Cointegration of International Stock Market Indices Book in PDF, ePub and Kindle
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets.
Author | : Tak Wai Choi |
Publisher | : |
Total Pages | : |
Release | : 2002 |
Genre | : |
ISBN | : |
Download The Relationship Between Stock Price and Macroeconomic Variables Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 588 |
Release | : 2011 |
Genre | : Stock market |
ISBN | : |
Download The Chinese Stock Market Book in PDF, ePub and Kindle
Author | : Sheung-Chi Chow |
Publisher | : |
Total Pages | : 28 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download The Integration of the Chinese Stock Markets Following the Shanghai-Hong Kong Stock Connect Book in PDF, ePub and Kindle
This study examines the impact of the Shanghai-Hong Kong Stock Connect on the degree of financial integration between the Hong Kong stock market and the Shanghai and Shenzhen stock markets in mainland China. By applying cointegration tests and linear and nonlinear Granger causality techniques on market capitalization and market index, we find that the stock markets from mainland China are increasingly influencing the Hong Kong stock market after the introduction of the Stock Connect scheme. Following the scheme's introduction, the cointegration relationship between China and Hong Kong in terms of market capitalizations and market indices is also increasing. Moreover, Granger causality effects on market capitalizations and market indices from China remain strong, while the directional Granger cause of the two variables from Hong Kong to China has become weak or been rejected. Our study indicates that further opening of the Chinese stock markets enhances their leading roles, given that market capitalizations and market indices exhibit the highest degree of explanatory power regarding market correction toward long-run equilibrium. However with nonlinear causality test, our results indicate that Hong Kong stock market is still relevant to understand and predict China stock market after the introduction of the Stock Connect scheme.
Author | : Mihir Rakshit |
Publisher | : OUP India |
Total Pages | : 308 |
Release | : 2011-01-13 |
Genre | : Business & Economics |
ISBN | : 9780198070108 |
Download Money and Finance in the Indian Economy Book in PDF, ePub and Kindle
This volume provides an overview of the challenges faced by monetary and fiscal authorities under the fast-changing market conditions at home and abroad. The focus is on fiscal imbalances; monetary-cum-exchange rate policies, and management of cross-border capital flows.