제도변화에 따른 중국주식시장의 글로벌화와 경제변수의 영향력 변화
Changes in the Effect of Economic Variables and Globalization in the China Stock Market According to Financial Reform
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The purpose of this research is to explore how the effects of macroeconomic variables and foreign stock prices on the China stock prices have been changed according to financial reform. By applying the newest time series methods, the results show that the impacts of macroeconomic variables on China stock prices have increased. After a structural break (Sep. 2004), in the long-run relationship, industrial production and oil price gave significant effects on China stock price. The effect of interest rate on stock price was changed from negative to positive after the structural break. This phenomenon is prevalent across advanced countries. Although the effect of Hang Seng index on Shanghai index is statistically significant, S&P500 does not give any impact on Shanghai index. It may imply that the globalization of China stock market is limited. Also, in the short-run effect, industrial product, oil price, and Hang Seng index were changed from insignificant to significant variables after the structural break. Overall, the macroeconomic forces on the China stock market have increased. Unlike previous studies, the results of this study imply that the China stock index is becoming a better indicator of Chinese economy. The findings of this research provide important information particularly for investors in revaluing China stocks and for policy makers in constructing Chinese economic policies.
Abstract
The purpose of this research is to explore how the effects of macroeconomic variables and foreign stock prices on the China stock prices have been changed according to financial reform. By applying the newest time series methods, the results show that the impacts of macroeconomic variables on China stock prices have increased. After a structural break (Sep. 2004), in the long-run relationship, industrial production and oil price gave significant effects on China stock price. The effect of interest rate on stock price was changed from negative to positive after the structural break. This phenomenon is prevalent across advanced countries. Although the effect of Hang Seng index on Shanghai index is statistically significant, S&P500 does not give any impact on Shanghai index. It may imply that the globalization of China stock market is limited. Also, in the short-run effect, industrial product, oil price, and Hang Seng index were changed from insignificant to significant variables after the structural break. Overall, the macroeconomic forces on the China stock market have increased. Unlike previous studies, the results of this study imply that the China stock index is becoming a better indicator of Chinese economy. The findings of this research provide important information particularly for investors in revaluing China stocks and for policy makers in constructing Chinese economic policies.
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