The Effects of Macroeconomic Variables on Stock Market in China: The Case of CSI 300
The macroeconomic variables are an essential reference for both investors and authority regulators in markets. On the one hand, they can help the investors prevent massive loss in speculation or investments. On the other hand, the influence of the variables should be controlled or appropriately adju...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2019
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| Online Access: | https://eprints.nottingham.ac.uk/58678/ |
| _version_ | 1848799556930633728 |
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| author | YAO, Jiaming |
| author_facet | YAO, Jiaming |
| author_sort | YAO, Jiaming |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The macroeconomic variables are an essential reference for both investors and authority regulators in markets. On the one hand, they can help the investors prevent massive loss in speculation or investments. On the other hand, the influence of the variables should be controlled or appropriately adjusted by regulators to stabilize and prosper the stock market. This paper focuses on clarifying the relationship between the variables and stock market combined with the specialized speculations on the characteristic of China. In response to the issue, the study analysed seven monthly macroeconomic variables with the CSI 300 stock index from 2010 to 2019. CSI 300 is chosen as the representative of the China stock market. During the research, the ADF test, Johansen test, G-causality test and VEC model has been employed to examine the data. Furthermore, Impulse Response Function and Variance Decomposition are adopted to demonstrate more detailed and available relationships between variables and CSI 300. The result presents that the money supply (M2) and fiscal expenditure are core influence factors to the stock index among numerous variables. Besides, most of the variables offer an optimal lag of 4 in the study, which indicates these variables usually last for around four months or be digested within the period. The specialized economic structure and regulation might be the reasons for the findings and further study might verify the speculations came up within the article. |
| first_indexed | 2025-11-14T20:37:33Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-58678 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:37:33Z |
| publishDate | 2019 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-586782022-12-08T15:25:22Z https://eprints.nottingham.ac.uk/58678/ The Effects of Macroeconomic Variables on Stock Market in China: The Case of CSI 300 YAO, Jiaming The macroeconomic variables are an essential reference for both investors and authority regulators in markets. On the one hand, they can help the investors prevent massive loss in speculation or investments. On the other hand, the influence of the variables should be controlled or appropriately adjusted by regulators to stabilize and prosper the stock market. This paper focuses on clarifying the relationship between the variables and stock market combined with the specialized speculations on the characteristic of China. In response to the issue, the study analysed seven monthly macroeconomic variables with the CSI 300 stock index from 2010 to 2019. CSI 300 is chosen as the representative of the China stock market. During the research, the ADF test, Johansen test, G-causality test and VEC model has been employed to examine the data. Furthermore, Impulse Response Function and Variance Decomposition are adopted to demonstrate more detailed and available relationships between variables and CSI 300. The result presents that the money supply (M2) and fiscal expenditure are core influence factors to the stock index among numerous variables. Besides, most of the variables offer an optimal lag of 4 in the study, which indicates these variables usually last for around four months or be digested within the period. The specialized economic structure and regulation might be the reasons for the findings and further study might verify the speculations came up within the article. 2019-09-05 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/58678/1/Jiaming_4338403_Dissertation.pdf YAO, Jiaming (2019) The Effects of Macroeconomic Variables on Stock Market in China: The Case of CSI 300. [Dissertation (University of Nottingham only)] Macroeconomic variables CSI 300 VEC model IRF Variance Decomposition. |
| spellingShingle | Macroeconomic variables CSI 300 VEC model IRF Variance Decomposition. YAO, Jiaming The Effects of Macroeconomic Variables on Stock Market in China: The Case of CSI 300 |
| title | The Effects of Macroeconomic Variables on Stock Market in China: The Case of CSI 300 |
| title_full | The Effects of Macroeconomic Variables on Stock Market in China: The Case of CSI 300 |
| title_fullStr | The Effects of Macroeconomic Variables on Stock Market in China: The Case of CSI 300 |
| title_full_unstemmed | The Effects of Macroeconomic Variables on Stock Market in China: The Case of CSI 300 |
| title_short | The Effects of Macroeconomic Variables on Stock Market in China: The Case of CSI 300 |
| title_sort | effects of macroeconomic variables on stock market in china: the case of csi 300 |
| topic | Macroeconomic variables CSI 300 VEC model IRF Variance Decomposition. |
| url | https://eprints.nottingham.ac.uk/58678/ |