The impact of monetary policy on banking and finance stock prices in China

Kim, Hyeyoen; Kim, Junyeup; Lee, Jaeram; Ryu, Doojin

doi:10.1080/13504851.2014.920472

Cited by 4 publications

(1 citation statement)

References 15 publications

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“…Compared with foreign scholars' research, abundant works in China have assessed the relationship between the deposit reserve rate and stock market (e.g., [76][77][78][79][80][81][82][83][84][85][86][87]). All this research argues that, after changing the supply of money, the variation in the deposit reserve rate causes stock prices to change in the following four ways: (i) the effect of the market interest rate, (ii) the effect of credit scale, (iii) the effect of market structure, and (iv) the effect of stock market announcements.…”

Section: Jls-factor Model With Chinese Characteristicsmentioning

confidence: 99%

New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles

2017

Discrete Dynamics in Nature and Society

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In this paper, we extend the Johansen-Ledoit-Sornette (JLS) model by introducing fundamental economic factors in China (including the interest rate and deposit reserve rate) and the historical volatilities of targeted and US equity indices into the original model, which is a flexible tool to detect bubbles and predict regime changes in financial markets. We then derive a general method to incorporate these selected factors in addition to the log-periodic power law signature of herding and compare the prediction accuracy of the critical time between the original and the new JLS models (termed the JLS-factor model) by applying these two models to fit two well-known Chinese stock indices in three bubble periods. The results show that the JLS-factor model with Chinese characteristics successfully depicts the evolutions of bubbles and “antibubbles” and constructs efficient end-of-bubble signals for all bubbles in Chinese stock markets. In addition, the results of standard statistical tests demonstrate the excellent explanatory power of these additive factors and confirm that the new JLS model provides useful improvements over the standard JLS model.

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Section: Jls-factor Model With Chinese Characteristicsmentioning

confidence: 99%

New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles

2017

Discrete Dynamics in Nature and Society

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Monetary policy as market stabilizer in the COVID-19 pandemic

Shan

Chen

Xiao

2023

Finance Research Letters

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An Exploration of Dynamical Relationships between Macroeconomic Variables and Stock Prices in Korea

Lee¹,

Brahmasrene²

2018

JAFEB

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This paper examines short-run and long-run dynamic relationships between selected macroeconomic variables and stock prices in the Korea Stock Exchange. The data is restricted to the period for which monthly data are available from January 1986 to October 2016 (370 observations) retrieved from the Economic Statistics System database sponsored by the Bank of Korea. The study employs unit root test, cointegration test, vector error correction estimates, impulse response test, and structural break test. The results of the Johansen cointegration test indicate at least three cointegrating equations exist at the 0.05 level in the model, confirming that there is a long-run equilibrium relationship between stock prices and macroeconomic variables in Korea. The results of vector error correction model (VECM) estimates indicate that money supply and short-term interest rate are not related to stock prices in the short-run. However, exchange rate is positively related to stock prices while the industrial production index and inflation are negatively related to stock prices in the short-run. Furthermore, the VECM estimates indicate that the external shock, such as regional and global financial crisis shocks, neither affects changes in the endogenous variables nor causes instability in the cointegrating vector. This study finds that the endogenous variables are determined by their own dynamics in the model.

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The impact of monetary policy on banking and finance stock prices in China

Cited by 4 publications

References 15 publications

New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles

New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles

Monetary policy as market stabilizer in the COVID-19 pandemic

An Exploration of Dynamical Relationships between Macroeconomic Variables and Stock Prices in Korea

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