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THE RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES AND THE CHINESE STOCK MARKET-AN APPLICATION OF VECTOR ERROR CORRECTION MODEL
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2017 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Using Johansen's vector error correction model, this paper investigates the long-term equilibrium between stock price and six selected macroeconomic variables in China. On testing different VECM models, we find that there is no long-term equilibrium between stock price and 6 macroeconomic variables, although there may exist long-term equilibrium among macroeconomic variables themselves. However, by applying impulse responses plots, we find that industrial production, exchange rate and interest rate do have effects on stock price that are consistent with economic hypotheses. This indicates that Chinese stock market does reflect economic situation to some extent, so it can be considered as an indicator of the real economy.

Place, publisher, year, edition, pages
2017. , p. 23
National Category
Economics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-325776OAI: oai:DiVA.org:uu-325776DiVA, id: diva2:1116088
Subject / course
Statistics
Educational program
Master Programme in Statistics
Supervisors
Examiners
Available from: 2017-06-28 Created: 2017-06-27 Last updated: 2017-06-28Bibliographically approved

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  • apa
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