IDEAS home Printed from https://ideas.repec.org/h/spr/advbcp/978-94-6463-748-9_69.html

The Linkage Effect and Market Reaction between the Fed’s Interest Rate Cutting Cycle and China’s Stock Markets

In: Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025)

Author

Listed:
  • Zhiyuan Liu

    (Zhuhai College of Science and Technology, Finance and Trade Faculties)

Abstract

This research centers on the effect of the Federal Reserve’s interest rate cuts on China’s stock market. Employing monthly data spanning from September 2016 to September 2022, it chooses variables such as the Shanghai Stock Exchange index, exchange rate, export volume, consumer price index, lending rate, and money supply. After conducting the Augmented Dickey-Fuller test and first-order differencing to ensure data stationarity, the optimal lag order for the VAR model is determined to be 1. The Granger causality test shows unidirectional causality among certain variables. Impulse response analysis indicates that short-term fluctuations of each variable notably influence the SSE index. It’s found that the Fed’s rate cuts have a short-term positive effect on China’s stock market, but the underlying mechanisms demand further exploration. Moreover, the VAR model has limitations, and both the data and methodology need refinement to enhance the accuracy and comprehensiveness of the analysis.

Suggested Citation

  • Zhiyuan Liu, 2025. "The Linkage Effect and Market Reaction between the Fed’s Interest Rate Cutting Cycle and China’s Stock Markets," Advances in Economics, Business and Management Research, in: Maizaitulaidawati Md Husin (ed.), Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025), pages 617-627, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-748-9_69
    DOI: 10.2991/978-94-6463-748-9_69
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:advbcp:978-94-6463-748-9_69. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.