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Monetary liquidity and stock price

Author: HaoTao
Tutor: ZhengHui
School: Fudan University
Course: World economy
Keywords: Monetary liquidity Stock price Vector auto regression model Cointegration relationship Portfolio Channels
CLC: F820;F830.91
Type: Master's thesis
Year: 2008
Downloads: 444
Quote: 0
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Abstract


This article \factors ; monetary policy by what means to affect stock prices ; currency liquidity affect the stock price can produce what kind of effect and effect . In this paper, through the analysis of monetary liquidity and stock price relationship is briefly answered currency liquidity constitute factors that affect stock prices . Due to the existence of non- effective , market stock price exhibited by the monetary liquidity . Currency liquidity by the assets of the combined effects of interest rates pathways , inflation illusion of factors , and other ways to affect the stock price . Use statistical methods including cointegration test , impulse response function analysis , variance decomposition and causality test , the actual effect of a more comprehensive examination of the interaction between the stock price and liquidity variables . The article 's analysis of the results showed that the Chinese stock market cointegration test and Granger causality test showed the market of non- effective feature . Currency liquidity through interest rate channels , inflation pathways , portfolio pathway affect stock prices , it will have a long-term positive impact . And related empirical results support of the existence of asymmetric effects of assumptions about the different size of the company's stock price by the impact of the monetary liquidity . The impact of currency liquidity shock to the small - company stock prices is greater than the response of large - company stock prices .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
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