Do Macroeconomic Variables Play any Role in the Stock Market Movement in China: Evidence from VAR Analysis

摘要：

In this study we examine the relationship between macroeconomic variables (GDP, money supply, exchange rate, interest rate) and stock market index in China. The period of the study is from Jun.2005-Dec.2008. During this period, China stock market experienced an amazing rising and also a horrifying crash. We find that there is a long-run equilibrium relationship between the stock index and the selected macroeconomic variables. Using VAR model, we get to the conclusion that exchange rate, money supply and GDP positively affect the stock index, while interest rate negatively affects the stock index.

关键词： Macroeconomic Variable Stock Market China VAR

作者: YANG Xiaolan HONG Tao

作者单位: College of Economics, Zhejiang University, P.R.China, 310027

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-5

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）