Economic forces and stock exchange prices: pre and post impacts of global financial recession of 2008
AbstractThis study examine the long run as well as short run relationship between China’s macroeconomic factors such as industrial production index, imports, exports, inflation rate and interest rate and Shanghai Composite Index and to explore which macroeconomic variables have significant influence on stock exchange prices. To examine the relationships between China’s macroeconomic factors and Shanghai Composite Index, Auto-regressive Distributed Lag (ARDL) approach to co-integration has been employed. In the long run, industrial production index and imports have significant impact on stock exchange prices. For the short run; past stock prices, industrial production index, previous inflation rate and interest rate are important determinants for stock exchange prices.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 50942.
Date of creation: 2012
Date of revision:
financial recession; stock exchange prices; co-integration; unit root; Auto-regressive Distributed Lag model;
Find related papers by JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
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