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The purpose of this research is to explore how the effects of macroeconomic variables and foreign stock prices on the China stock prices have been changed according to financial reform. By applying the newest time series methods, the results show that the impacts of macroeconomic variables on China stock prices have increased. After a structural break (Sep. 2004), in the long-run relationship, industrial production and oil price gave significant effects on China stock price. The effect of interest rate on stock price was changed from negative to positive after the structural break. This phenomenon is prevalent across advanced countries. Although the effect of Hang Seng index on Shanghai index is statistically significant, S&P500 does not give any impact on Shanghai index. It may imply that the globalization of China stock market is limited. Also, in the short-run effect, industrial product, oil price, and Hang Seng index were changed from insignificant to significant variables after the structural break. Overall, the macroeconomic forces on the China stock market have increased. Unlike previous studies, the results of this study imply that the China stock index is becoming a better indicator of Chinese economy. The findings of this research provide important information particularly for investors in revaluing China stocks and for policy makers in constructing Chinese economic policies.
목차
Ⅰ. 서론
Ⅱ. 중국 주식시장의 제도변화
Ⅲ. 이론적 배경 및 실증분석모형
Ⅳ. 실증분석 방법론
Ⅴ. 실증분석 결과
Ⅵ. 요약 및 결언
참고문헌
논문초록
참고문헌 (25)
참고문헌 신청
2. [학술지(정기간행물)] - 장병기 / 2005 / 주식시장과 채권시장간의 관계변화에 관한 국가간 비교분석 / Asia-Pacific Journal of Financial Studies 34 (1) : 95 ~ 128
3. [단행본] - 郭莉 / 2009 / 香港证券市场全透视 / 中信出版社 : 74 ~ 83
4. [학술지(정기간행물)] - 石建勋 / 2010 / 内地股市与香港股市联动原因的实证分析 / 粤港奥经济 26 (11) : 55 ~ 61
5. [학술지(정기간행물)] - 范致镇 / 2010 / 泸港股市的联动关系研究 / 兰州商学院学报 26 (4) : 35 ~ 40
6. [학술지(정기간행물)] - 孙洪庆 / 2009 / 股票价格、宏观经济变量与货币政策-对中国金融市场的协整分析 / 经济评论 4 : 50 ~ 57
3. [단행본] - 郭莉 / 2009 / 香港证券市场全透视 / 中信出版社 : 74 ~ 83
4. [학술지(정기간행물)] - 石建勋 / 2010 / 内地股市与香港股市联动原因的实证分析 / 粤港奥经济 26 (11) : 55 ~ 61
5. [학술지(정기간행물)] - 范致镇 / 2010 / 泸港股市的联动关系研究 / 兰州商学院学报 26 (4) : 35 ~ 40
6. [학술지(정기간행물)] - 孙洪庆 / 2009 / 股票价格、宏观经济变量与货币政策-对中国金融市场的协整分析 / 经济评论 4 : 50 ~ 57
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UCI(KEPA) : I410-ECN-0101-2014-910-000423867