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Analysis of the long‐term relationship between macro‐economic variables and the Chinese stock market using heteroscedastic cointegration
Ming-Hua Liu1; Keshab M. Shrestha2
2008-09-26
Source PublicationManagerial Finance
ISSN0307-4358
Volume34Issue:11Pages:744-755
Abstract

Purpose – The purpose of this paper is to investigate the relationship between the Chinese stock market indices and a set of macro-economic variables, i.e. money supply, industrial production, inflation, exchange rate and interest rates. Design/methodology/approach – The aims of this paper are addressed using heteroscedastic cointegration analysis. Findings – Results show that the cointegrating relationship does exist between stock prices and the macro-economic variables in the highly speculative Chinese stock market. Detailed analysis shows stock market performance is positively related to that of macro-economy in the long term. Research limitations/implications – The results imply that in the long run, investors can benefit in terms of better returns and portfolio diversification as the Chinese economy is expected to continue to perform strongly. Originality/value – The main contributions of this paper are two-fold: first, this is the first paper to examine the long-term relationship between the stock market indices and macro-economic variables in China, one of largest economies in the world. Second, heteroscedastic cointegration analysis is used and hence this paper controls for time-varying volatility.

KeywordStock Markets China Macro-economics Statistical Analysis
DOI10.1108/03074350810900479
Language英语
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Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Affiliation1.Faculty of Business, Department of Finance, Auckland University of Technology, Auckland, New Zealand
2.Nanyang Business School, Nanyang Technological University, Singapore
Recommended Citation
GB/T 7714
Ming-Hua Liu,Keshab M. Shrestha. Analysis of the long‐term relationship between macro‐economic variables and the Chinese stock market using heteroscedastic cointegration[J]. Managerial Finance,2008,34(11):744-755.
APA Ming-Hua Liu,&Keshab M. Shrestha.(2008).Analysis of the long‐term relationship between macro‐economic variables and the Chinese stock market using heteroscedastic cointegration.Managerial Finance,34(11),744-755.
MLA Ming-Hua Liu,et al."Analysis of the long‐term relationship between macro‐economic variables and the Chinese stock market using heteroscedastic cointegration".Managerial Finance 34.11(2008):744-755.
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