Do the Chinese Bourses (Stock Markets) Predict Economic Growth?
AbstractWe study the relationship between the Chinese macroeconomy and the Chinese stock markets, i.e., the bourses in Shanghai and Shenzhen. With this goal, we utilize multiple Granger causality and Geweke linear dependence and examine likelihood ratio statistics between two sectors of the Chinese economy: the Chinese economic prosperity score (EPS)¡Xand its departure from a "healthy level" (EPS-D)¡Xand composite indexes for Chinese securities markets¡XShanghai composite (SH) and Shenzhen composite (SZ). The data cover nine years. The authors found no evidence that SH and SZ Granger cause economic prosperity. The evidence supports the notions that Chinese stock markets respond greater to changes in EPS-D than to EPS and that the SZ is more sensitive to changes in the economy than the SH.
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Bibliographic InfoArticle provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.
Volume (Year): 8 (2009)
Issue (Month): 3 (December)
Granger causality; Geweke linear dependence; likelihood ratio tests; vector autoregression;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
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