The Efficiency of China''s Stock Market with Respect to Monetary Policy : An Empirical Assessment

Caren Yinxia Guo Nielsen

ISBN 10: 383831025X / ISBN 13: 9783838310251

Published by LAP LAMBERT Academic Publishing, 2009

About this Item

nach der Bestellung gedruckt Neuware - Printed after ordering - Due to the bull stock market from Jun 2005 to 2008 in China and the simultaneous high interest in stocks, resulting in a stream of new private investors into the market, issues about this market have been hot topics in people s daily life and academic circles. One of these is the efficiency of the market. Considering the importance of monetary policy in Chinese economy, I focus on the efficiency of the stock market with respect to monetary policy, which is concerned about by investors for their investment returns and by the government for its governing efficiency of polices. Furthermore, along with the development of the Chinese economy, there is an international focus on whether the market is healthy. I test the Efficient Market Hypothesis using the Vector Autoregressive models, including the monthly macroeconomic variables related to monetary policy. Impulse Responses Functions and Variance Decompositions are generated from the estimated VARs to further evaluate impacts of monetary policy on stock returns. This empirical assessment could be considered as a research on the market efficiency with a different angel, useful for any one doing researches on the Chinese stock market.

Seller Inventory # 9783838310251

Bibliographic Details

• Title: The Efficiency of China''s Stock Market with Respect to Monetary Policy : An Empirical Assessment
• Publisher: LAP LAMBERT Academic Publishing
• Publication Date: 2009
• Language: English
• ISBN 10: 383831025X
• ISBN 13: 9783838310251
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 150H x 4D millimeters 220 millimeters width by 150 millimeters height by 4 millimeters depth
• Weight: 107 grams

About this title

Synopsis

Due to the bull stock market from Jun 2005 to 2008 in China and the simultaneous high interest in stocks, resulting in a stream of new private investors into the market, issues about this market have been hot topics in people¿s daily life and academic circles. One of these is the efficiency of the market. Considering the importance of monetary policy in Chinese economy, I focus on the efficiency of the stock market with respect to monetary policy, which is concerned about by investors for their investment returns and by the government for its governing efficiency of polices. Furthermore, along with the development of the Chinese economy, there is an international focus on whether the market is healthy. I test the Efficient Market Hypothesis using the Vector Autoregressive models, including the monthly macroeconomic variables related to monetary policy. Impulse Responses Functions and Variance Decompositions are generated from the estimated VARs to further evaluate impacts of monetary policy on stock returns. This empirical assessment could be considered as a research on the market efficiency with a different angel, useful for any one doing researches on the Chinese stock market.

About the Author

Degree of Master of Economics, Peking University; Master of Science in Finance, Lund University; FX dealer in Shanghai Pudong Development Bank; PhD candidate, Lund University.