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UM E-Theses Collection (澳門大學電子學位論文庫)

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Title

Relationship between macroeconomic variables and property stock movement :evidence from Shenzhen Stock Exchange

English Abstract

This study examines the influences of macroeconomic variables on stock performance in a specific sector, property market, in Shenzhen Stock Exchange (SZSE). We select (1) money supply, (2) interest rate, (3) consumer price index, (4) exchange rate, (5) industrial production and (6) gross domestic production as macroeconomic factors, and analyze both long run and short run dynamic relationships between these six selected macroeconomic variables and property stock market from July 2001 to December 2013. To provide a more comprehensive study, we investigate such dynamic relationships by using both the composite property index in SZSE and its every constituent property stock. After employing a bundle of econometric tools, including unit root tests, cointegration tests, vector error corrections, granger causality tests, variance decompositions and impulse response functions, we show that there are cointegration relationships between property stock prices and the sex selected macroeconomic variables. Our findings imply that money supply, interest rate, consumer price index, exchange rate, industrial production and gross domestic production may be used as significant instruments to stabilize the overexcited property stock market and to slow down the overheated real estate market in China.

Issue date

2014

Author

Chen, Jie Yan

Faculty

Faculty of Business Administration

Degree

M.B.A.

Subject

Real property -- China -- Shenzhen (Kuang Tung Province)

Stock exchanges -- China -- Shenzhen (Kuang Tung Province)

Banking and Finance -- Department of Finance and Business Economics

Supervisor

So, Man Shing

Files In This Item

Full-text (internet)

Location
1/F Zone C
Library URL
991008712439706306