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Study On Macroeconomic Variables Affect The Price Of China's Stock Market

Posted on:2009-05-15Degree:MasterType:Thesis
Country:ChinaCandidate:S X LiuFull Text:PDF
GTID:2189360272977697Subject:Industrial Economics
Abstract/Summary:PDF Full Text Request
Macroeconomic factors and the relationship between the stock market price, financial economics at home and abroad is the hot topic of research. Investigation stock market prices and domestic economic relations entities related literature mostly in the framework of macro-economic circumstances. Based on the micro-structure of the market and the characteristics of China's stock market, An Empirical Study of China's macroeconomic variables, the effect of the price on the stock market, in a sense, made up for some of the inadequacies of existing research. This paper mainly include the following:1, The use of VAR model, Granger causality test, impulse response analysis and variance decomposition technology, research macroeconomic variables on China's stock markets have long-term implications. Research found that China's current economic entities changes in the operation of the impact of changes in the stock market is not significant. During his inspection tour of the many macroeconomic variables, only completion rate of investment in fixed assets, the consumer price index, indicator variables M1 monetary policy and open market operations on the stock market long-term benefits of China's Shanghai stock market has had a notable impact.2, Based on the ARCH models from the study yield volatility of short-term changes in stock prices. The results showed that performance in the stock market is the volatility of the past impact on the future of the progressive attenuation. China's stock market volatility and the asymmetry in the non-symmetric model TARCH and EGARCH found in the estimated results of the empirical evidence, while China's stock market can be drawn in the same bad news than good news from the size of the larger fluctuations.3, The use of macroeconomic analysis of game theory exists in our country "policy,". That the Government acts and acts of civil consistent and balanced and dynamic consistency, that is a policy not only in the development stage should be optimal (from the Government's perspective), in the absence of new information before they arise in the development after the implementation phase should also be optimal.
Keywords/Search Tags:Stock Prices, Macroeconomic Variables
PDF Full Text Request
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