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Dynamic Changes in the Stock Index of China and the U.S. in this Turn’s Monetary Policy: Evidence from Data Analysis Based on Stata

In: Economic Management and Big Data Application Proceedings of the 3rd International Conference

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  • Jingsi Chen

Abstract

On July 27, the Federal Reserve announced that it would raise the benchmark interest rate by 75 basis points to the range of 2.25%-2.50%, which is 75 basis points for two consecutive interest rate hikes. The interest rate returned to a high level in 2019, which is near the peak of interest rates. However, the Fed’s rate hike is not over, and the market expects another wave of rate hikes in September. The impact of interest rate hikes has been significant in many areas, including the stock markets in China. This paper is based on Stata to analyze data, selecting the stock indexes in China (Shanghai Composite Index, Shenzhen Component Index) and the U.S. (Nasdaq Index, S&P 500 Index) and intercepting their yields after June 2021. The VAR model and ARMA-GARCH model are used to analyze the data, studying how the Chinese and U.S. stock indexes have been affected by the U.S. monetary policy, and making suggestions for the future development of the Chinese stock market based on data analysis.

Suggested Citation

  • Jingsi Chen, 2024. "Dynamic Changes in the Stock Index of China and the U.S. in this Turn’s Monetary Policy: Evidence from Data Analysis Based on Stata," World Scientific Book Chapters, in: Sikandar Ali Qalati (ed.), Economic Management and Big Data Application Proceedings of the 3rd International Conference, chapter 45, pages 506-519, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811270277_0045
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    Keywords

    Big Data; Information Management; Economic; Data Applications; Blockchain; E-commerce;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • O14 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Industrialization; Manufacturing and Service Industries; Choice of Technology

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