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Research of the Relation between China Stock Cycle and Business Cycle

Author: GongLi
Tutor: TianYingHua
School: Huazhong University of Science and Technology
Course: Finance
Keywords: Stock market cycle Economic cycle VAR model Johansen cointegration test Depart
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 574
Quote: 2
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Abstract


The empirical study of the interaction between China 's stock market cycle and economic cycle will be . In the analysis , we found that the overall economic cycle to guide the running of the stock market cycle , but a departure from the run with the economic cycle in a very long period of time, China 's stock market cycle . The empirical analysis in this article taken First, the GDP growth rate and stock index growth rate sequence unit root tests to determine the stationarity of the two sets of sequences , established on the basis of vector autoregressive VAR model , and then proceed to the Johansen cointegration test and the Grand Jie causality test . Main points for the analysis of both the two periods , the first of a complete period 1994-2004 empirical analysis , to guide stock index conclusions drawn in this period GDP , run macroeconomic boot stock market . Then the pair during the period 1996-2004 to the same analysis , the results show that the occurrence of a departure from the economic cycle and stock market cycle during this period . This paper focuses on China 's stock market cycle and economic cycle departure from reason , from China's stock market has a defect , the government intervention , the problem of the investment value of listed companies and the speculative behavior of stock market investors , psychological expectations detailed analysis . Finally, recommendations on the development of China 's stock market , China's stock market to become a \

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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