Macro-economic determinants of stock market co-movement beween China and United States.

This study aims to examine the short run dynamics and long term relationships between the macro-economic fundamentals and the stock market returns of China and US, in the period 2000 to 2010. Prior research has largely laid emphasis on studying stock market interdependence of developed countries. In...

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Main Authors: Leng, Ruowei., Tan, Cui Yun., Zhou, Yishu.
Other Authors: Cao Yong
Format: Final Year Project
Language:English
Published: 2011
Subjects:
Online Access:http://hdl.handle.net/10356/43920
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-439202023-05-19T06:16:14Z Macro-economic determinants of stock market co-movement beween China and United States. Leng, Ruowei. Tan, Cui Yun. Zhou, Yishu. Cao Yong Nanyang Business School DRNTU::Business::Finance::Capital market This study aims to examine the short run dynamics and long term relationships between the macro-economic fundamentals and the stock market returns of China and US, in the period 2000 to 2010. Prior research has largely laid emphasis on studying stock market interdependence of developed countries. In view of this, this study broadens our understanding by exploring the co-movement between US and the relatively young yet emerging economy of China. This paper employs well-accepted statistical methods such as the Augmented Dickey Fuller (ADF) test, Granger Causality, Johansen co-integration and Vector Error Correction Model (ECM). The results of the analysis revealed uni-directional and bidirectional causal relations among variables in the short run. Further, the ECM results revealed that the lags of China‟s interest rate and the stock returns are functions which have significant short-term effects on stock returns. While in the long run, the empirical results suggests that certain macro-economic fundamentals have a long run and contemporaneous effect on the stock market returns. BUSINESS 2011-05-13T08:31:22Z 2011-05-13T08:31:22Z 2011 2011 Final Year Project (FYP) http://hdl.handle.net/10356/43920 en Nanyang Technological University 49 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance::Capital market
spellingShingle DRNTU::Business::Finance::Capital market
Leng, Ruowei.
Tan, Cui Yun.
Zhou, Yishu.
Macro-economic determinants of stock market co-movement beween China and United States.
description This study aims to examine the short run dynamics and long term relationships between the macro-economic fundamentals and the stock market returns of China and US, in the period 2000 to 2010. Prior research has largely laid emphasis on studying stock market interdependence of developed countries. In view of this, this study broadens our understanding by exploring the co-movement between US and the relatively young yet emerging economy of China. This paper employs well-accepted statistical methods such as the Augmented Dickey Fuller (ADF) test, Granger Causality, Johansen co-integration and Vector Error Correction Model (ECM). The results of the analysis revealed uni-directional and bidirectional causal relations among variables in the short run. Further, the ECM results revealed that the lags of China‟s interest rate and the stock returns are functions which have significant short-term effects on stock returns. While in the long run, the empirical results suggests that certain macro-economic fundamentals have a long run and contemporaneous effect on the stock market returns.
author2 Cao Yong
author_facet Cao Yong
Leng, Ruowei.
Tan, Cui Yun.
Zhou, Yishu.
format Final Year Project
author Leng, Ruowei.
Tan, Cui Yun.
Zhou, Yishu.
author_sort Leng, Ruowei.
title Macro-economic determinants of stock market co-movement beween China and United States.
title_short Macro-economic determinants of stock market co-movement beween China and United States.
title_full Macro-economic determinants of stock market co-movement beween China and United States.
title_fullStr Macro-economic determinants of stock market co-movement beween China and United States.
title_full_unstemmed Macro-economic determinants of stock market co-movement beween China and United States.
title_sort macro-economic determinants of stock market co-movement beween china and united states.
publishDate 2011
url http://hdl.handle.net/10356/43920
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