Impacts of Macroeconomic Variables, Beijing Olympic Game, Subprime Mortgage and the Great Sichuan Earthquake on Shanghai Stock Market Index

• Main Authors: Che-wei Chang, 張哲維
• Other Authors: Shin-hung Kang
• Format: Others
• Language: en_US
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/77305550860207936352

碩士 === 國立成功大學 === 企業管理學系碩博士班 === 97 === In recent years, the China’s economy has grabbed great deal of attention worldwide. Furthermore, a growing number of research studies that tackle the issue of the stock market in the developed country have newly appeared. However, few studies have been done regarding the effect that macroeconomic variables have on stock market index of China. In addition, there are only little studies discussing about the relationships among the major events and the stock market index of China. This research tries to shed more light on how the macroeconomic variables and major events influence the degree of the Shanghai stock market index. The sample data for this research consists of the listed macroeconomic variables in China from January 2000 to December 2008. Moreover, the following major events are selected as dummy variables: the Olympic Games, subprime mortgage, and the Great Sichuan Earthquake. With a multiple linear regression model, this research tends to investigate how the macroeconomic variables and major events are related to the stock index of Shanghai Stock Exchange (SSE). In this research, the empirical results show that Consumer Price Index (CPI) has a significantly negative influence on all the stock indices of SSE. The Money Supply is positively related to the SSE-Real Estate Index, SSE-Utilities Index, and SSE- Conglomerates index. There is a negative relationship between the Interest Rate and SSE-Utilities Index. The Industrial Production Figures is confirmed in this research to be positively related to SSE-Industrial Index and SSE-Utilities Index. We also found that the Olympic Games year is positively related to all the SSE stock market indices. As a result the year of Olympic Games has enormous positive impacts on economic indicators of the host country. Additionally, subprime mortgage is negatively related to SSE-Commercial Index and SSE-Real Estate Index. This finding revealed that the subprime mortgage crisis has negatively affected individuals, investors, lenders, and economies worldwide. Moreover, the Great Sichuan Earthquake has negative relationships with both SSE-Industrial Index and SSE-Utilities Index.