Evaluating the impact of inflation on stock market in China

This study attempts to investigate the possible relationship between stock price and inflation rate in China over the period of September 1997 to July 2015 using variables of share price index, consumer price index (CPI), interest rate and industrial production. Past studies mainly focus on the deve...

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Main Author:	Dengke, Li
Format:	Thesis
Language:	eng eng
Published:	2015
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/5549/1/s817470_01.pdf https://etd.uum.edu.my/5549/2/s817470_02.pdf
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id	my-uum-etd.5549
record_format	uketd_dc
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
advisor	Nordin, Sabariah
topic	HG Finance
spellingShingle	HG Finance Dengke, Li Evaluating the impact of inflation on stock market in China
description	This study attempts to investigate the possible relationship between stock price and inflation rate in China over the period of September 1997 to July 2015 using variables of share price index, consumer price index (CPI), interest rate and industrial production. Past studies mainly focus on the developed countries. Despite numerous theories, literature reveals that there is not enough information and investigation about developing countries especially China. This study aims to narrow this gap by examining the relationship between stock and inflation in China. The Vector Error Correction Model (VECM) has been employed to determine the long and short run relationships among the variables respectively. The cointegration test reveals a significant long run relationship between the underlying variables. Based on the VECM results, inflation is found to have a significant and positive influence on the stock market in the long run as well as in the short run. The Granger causality test also indicates that inflation has a unidirectional causality on the stock market index. In general, the results suggest a positive significant relationship between inflation and stock price.
format	Thesis
qualification_name	masters
qualification_level	Master's degree
author	Dengke, Li
author_facet	Dengke, Li
author_sort	Dengke, Li
title	Evaluating the impact of inflation on stock market in China
title_short	Evaluating the impact of inflation on stock market in China
title_full	Evaluating the impact of inflation on stock market in China
title_fullStr	Evaluating the impact of inflation on stock market in China
title_full_unstemmed	Evaluating the impact of inflation on stock market in China
title_sort	evaluating the impact of inflation on stock market in china
granting_institution	Universiti Utara Malaysia
granting_department	Faculty of Finance and Banking
publishDate	2015
url	https://etd.uum.edu.my/5549/1/s817470_01.pdf https://etd.uum.edu.my/5549/2/s817470_02.pdf
_version_	1747827947487625216
spelling	my-uum-etd.55492021-03-18T06:39:32Z Evaluating the impact of inflation on stock market in China 2015 Dengke, Li Nordin, Sabariah Faculty of Finance and Banking School of Economics Finance and Banking HG Finance This study attempts to investigate the possible relationship between stock price and inflation rate in China over the period of September 1997 to July 2015 using variables of share price index, consumer price index (CPI), interest rate and industrial production. Past studies mainly focus on the developed countries. Despite numerous theories, literature reveals that there is not enough information and investigation about developing countries especially China. This study aims to narrow this gap by examining the relationship between stock and inflation in China. The Vector Error Correction Model (VECM) has been employed to determine the long and short run relationships among the variables respectively. The cointegration test reveals a significant long run relationship between the underlying variables. Based on the VECM results, inflation is found to have a significant and positive influence on the stock market in the long run as well as in the short run. The Granger causality test also indicates that inflation has a unidirectional causality on the stock market index. In general, the results suggest a positive significant relationship between inflation and stock price. 2015 Thesis https://etd.uum.edu.my/5549/ https://etd.uum.edu.my/5549/1/s817470_01.pdf text eng public https://etd.uum.edu.my/5549/2/s817470_02.pdf text eng public masters masters Universiti Utara Malaysia Adam, A. M., & Frimpong, S. (2010). Can Stocks Hedge Against Inflation in the Long Run: Evidence from Ghana Stock Market. Available at SSRN 1585577. Adrangi, B., Chatrath, A., & Sanvicente, A. Z. (2011). Inflation, Output, and Stock Prices: Evidence from Brazil. Journal of Applied Business Research (JABR), 18(1). 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Evaluating the impact of inflation on stock market in China

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