Do Macroeconomic Structural Changes Occur in China's Stock Markets?
AbstractUsing a rolling regression approach with varying independent variables, this paper investigates macroeconomic structural changes in the four main stock markets in China and identifies the threshold values of structural changes. Macroeconomic structural changes frequently occur on the Shanghai stock exchange, but only rarely on the Shenzhen stock exchange. In addition, five vertical threshold values are identified for the rate of change in the exchange rate (0%), the rate of change in the consumer price index (25.6%), the rate of change in the industrial production (13.5% and 15%), and the interest rate (10.98%). These threshold values imply that the effect of fluctuations in the renminbi on China's stock markets might be contingent upon different rates of change in the exchange rate, in the consumer price index, in the industrial production, and in the interest rate. Moreover, greater economic growth is not always reflected in the prosperity of the stock market. Higher growth in the price level may have a negative rather than a positive impact on economic growth.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Penerbit Universiti Sains Malaysia in its journal Asian Academy of Management Journal of Accounting and Finance.
Volume (Year): 4 (2008)
Issue (Month): 1 ()
macroeconomic factors; structural change; economic growth; exchange rate JEL Classifications:;
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journal Division).
If references are entirely missing, you can add them using this form.