Macroeconomic, Commodity and Real Estate Determinants of China Stock Market Volatility

Low, Jze Tieng (2011) Macroeconomic, Commodity and Real Estate Determinants of China Stock Market Volatility. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

In this study, the volatility of macroeconomic, commodity price and property price are examined to determine whether they can explain the stock market volatility in China using monthly data from 1999 to 2010. Our empirical results indicate that the volatility of exchange rates, gold prices, and property price as key determinants of China stock market volatility. Nevertheless, the empirical results show weak evidence for the impact of output and crude oil price volatilities on the China stock market. The findings suggest that stabilizing policy is needed for exchange rates, real estate market, and gold trading so as to avoid stock market instability in China.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 22 Jun 2012 07:20
Last Modified: 19 Oct 2016 21:46
URI: http://eprints.nottingham.ac.uk/id/eprint/25493

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