The impact of subprime crisis on the stock market and macroeconomic variables of the United States,China,Germany and Britain

• Main Authors: Chih-ming Shih, 施志明
• Other Authors: Ｈsin-hong Kang
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/94250632100902013623

碩士 === 國立成功大學 === 經營管理碩士學位學程 === 96 === Globalization leads to inseparable relationship between capital markets across countries in the world. This paper explores the impact of subprime crisis, which occurred in the United States in the second half of 2007, on both the macroeconomic variables and stock market of the United States, China, Britain and Germany by using regression model and dummy variables. In this paper, the author using macroeconomic data from Jan. 1999 to Dec.2007 to inspect whether the subprime crisis had a significant impact on stock index as well as economic variables of those four selected countries. The results of the empirical study are as follows: 1. For the United States, subprime crisis does not impact significantly yet on both S&P500 index and macroeconomic variables during the research period。 2. For Germany, subprime crisis causes a shift but not statistically significant in DAX stock index and does not impact significantly yet on the macroeconomic variables during the research period。 3. For China, subprime crisis has impact but is not statistically significant on SHI stock index, both CPI and IP variables and has no effect on FX and MS during the research period。 4. For Britain, subprime crisis has impact but is not statistically significant on FX and has no influence yet on FTSE100 stock index as well as macroeconomic variables during the research period。