Font Size: a A A

Macroeconomic Variables And The Measurement Of The Relationship Between The Dow Jones China Offshore 50 Index

Posted on:2008-12-18Degree:MasterType:Thesis
Country:ChinaCandidate:H WangFull Text:PDF
GTID:2199360242968927Subject:Statistics
Abstract/Summary:PDF Full Text Request
In the process of a country's economic growth, the capital forming and investment sometimes be seen the essential factor and impetus for it's the strongest fluidness. The developing country holds a lot of nature resource and labor force. But these produce elements can or can not react enough lie on how much of the capital. The state-owned enterprises go abroad and come into the stock markets for financing, which is the feasible mode to utilizing the international capital and building modern country. Along with more and more state-owned enterprises go abroad, it has become a hot focus that it is advantageous or disadvantageous.This paper has been written out basing on this background. The variance of the state-owned enterprises stock price goes abroad will be impacted by which they coming into the stock market local macroeconomic factors. And they influence the domestic economy via their reinvestment to homeland. The state-owned enterprises go abroad and come into the stock markets can settle some their inner problems, and influence the domestic economy. However potential problems and risk will be not ignored on the back of the phenomenon. Along with the number of the state-owned enterprises going abroad increasing, the 'weatherglass' function of abroad stock market will be strengthened. So the variance of domestic macroeconomic variables will be changed by that of the abroad. That will lead the domestic capital market be imposed by the international precarious factors easily and imperil the domestic economy security. Comprehensive the DJChina overseas 50 price index and domestic macroeconomic variables are taken as study object in this paper. Put it to explain if the 'weatherglass' function of abroad stock market will be strengthened by a large numbers of state-owned enterprises going abroad. Consequently that will threaten security and affect the stabilization coursing of the domestic economy.There are four parts in the structure of this paper and anglicize the every part respectively. The central content and point of the every part depict as follows. The first chapter is introduction. That include putting forward the problem of this paper, the meaning of choosing this topic and innovation point. And introduce briefly the master point about a large numbers of state-owned enterprises going abroad of domestic academician. Furthermore introduce the DJChina abroad 50 which represent the variance of the state-owned enterprises stock price going abroad.The second and the third chapters are the principal part of this paper. The second chapter analyze if the DJChina overseas 50 price index and domestic macroeconomic variables correlate each other from the theory and theory model. In this chapter analyze the Tobin 'q' theory, APT model, CAPM, Aggregate demand model and Blanchard model. That can conclude the 'weatherglass' function of abroad stock market will be strengthened by a large numbers of state-owned enterprises going abroad and that will affect the stabilization coursing of the domestic economy. In the third chapter, analyze the relation from empirical perspective which the DJChina overseas 50 price index and domestic macroeconomic variables. Introduce the empirical method in this paper. Set up VAR(Vector Autoregression) model to settle this problem due to confirm the independent and dependent variable from the present theory. And explain the common representation, Granger Causality Test, Impulse Response Function, Variance Decomposition analysis Co integration and ECM -Error Correction Model. The second section mainly illuminates the variables selecting and the data source in this paper. The third section analyzes the choosing variables and data making use of the empirical perspective in the first ones. From the empirical analysis we can conclude domestic macroeconomic variables -especially GDP-have some impact to the DJChina overseas 50 price index. -GDP has the remarkable response to one standar4d deviation innovation of the DJChina overseas 50 and the latter have 20% contribution ration to the fluctuation of the former. However have not remarkable impact contrarily.The last chapter is the conclusion part of this paper. From the analysis of the second and the third chapters, we can conclude the variance of the state-owned enterprises stock price goes abroad will be impacted by which they coming into the stock market local macroeconomic factors and they influence the domestic economy. So the 'weatherglass' function of stock market abroad will be strengthened by a large numbers of state-owned enterprises going abroad and the variance of domestic macroeconomic variables will be changed by that of the abroad. We must develop the native capital market fleetly; reduce the number of the state-owned enterprises going abroad; inaugurate the regression passage of the state-owned enterprises going abroad and come into the native capital market.
Keywords/Search Tags:domestic macroeconomic variables, the DJChina overseas 50 price index, VAR model, Co integration analysis
PDF Full Text Request
Related items