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The Study of Chinese Stock Market Wealth Effect

Author: LiangMingXing
Tutor: ZhaoZuo
School: Ocean University of China
Course: Finance
Keywords: the stock market wealth effect error correction model the difference in wealth effect
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 60
Quote: 0
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With the deepening share structure reform starting form 2005,the China’s stock market wealth effect gradually appears.In this context, the study of stock market wealth effect becomes necessary. This paper attempts to build the evaluation system and to make empirical research for stock market wealth effect.First,outline the stock market wealth effects and further analyze the influence factors.These factors are divided into market factors and non-market factors.Market factors include market size,market efficiency and market structure.Market size and market structure are denoted by securities rate and stock market participation rate.Government actions and international influence make up non-market factors.The monetary policy-making and using are the presentation of government actions. Article uses the ration of stock market and the broad money supply (M2) to reflect the changing in monetary policy.Then try to build evaluation index system of the stock market wealth effect,attempting to quantify the stock market wealth effect for the evaluation. Respectively,GDP, total retail sales of social consumer goods,residents’savings,consumer confidence index are introduced into evaluation system. These indicators evaluate the stock market wealth effect from different sides of the size and impact.The paper conducts empirical research based on the evaluation index system according to the actual development of China’s stock market.To 2005-2009 years quarterly data as sample,establish error correction model to estimate China stock wealth effect size after data seasonal adjustment,stationary test,co integration test.By contrast, China’s stock market has weak wealth effect.The different economic development leads to difference in transmission mechanism. And the differences ultimately affect the wealth effect.Then further analyze the reason of differences and give recommendations of stock market development in China:the expansion of market size; optimization market structure;changing in regulatory approach.Finally,the article summarizes the main research findings,and gives the prospect of future research.The innovation of this paper includes the following two points:First,build evaluation index system of the stock market wealth effect. GDP, total retail sales of social consumer goods, savings, consumer confidence index are introduced into evaluation system.Second, use the error correction model to evaluate China’s stock market wealth effect.Through the establishment of error correction model, actual measure the size of China’s stock market wealth effect.Based on the results of the measure, further explore the cause of differences in stock market wealth effect.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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