The Impact of Macroeconomic Fundamentals on Shanghai Composite Property Index

LI, TIANYI (2020) The Impact of Macroeconomic Fundamentals on Shanghai Composite Property Index. [Dissertation (University of Nottingham only)]

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The real estate industry occupies an important position in China's economy. In recent years, due to the acceleration of real estate price growth and the fluctuation of the real estate stock market, the real estate industry has become the focus industry. This study compares China and the United States' real estate to get reasonable and applicable parts to batter control the development of China’s real estate market. Besides, many macroeconomic indicators are closely related to the real estate stock market. Simultaneously, the real estate stock market reflects the fluctuations of the real estate industry to a certain extent. Therefore, it is crucial to explore the impact of macro-economy on the real estate stock market. This paper mainly focuses on the macroeconomic effects on the Shanghai composite property index .

This study selects Shanghai composite property index's quarterly data and 14 macroeconomic indicators from 2002 to 2020. The main contents are as follows: firstly, the multicollinearity test is carried out on 14 macroeconomic indicators, and the test results show that there is collinearity. Factor analysis is used to reduce the dimension, and three common factors are selected. Then, the unit root test of four groups of data including Shanghai Composite Property Index and three common factors is carried out to test the data's stability. According to the method of the theoretical part, the lag order of the model is obtained, and the vector autoregressive (VAR) model is constructed. The equation expression of variables is obtained. Secondly, based on the VAR model, the Johansen cointegration test proves whether there is a long-term stable cointegration relationship between Shanghai Composite Property index and common factors. Because of the cointegration relationship, this study analyzes the expression of the vector error correction (VEC) model and conducts variance decomposition test on the model. Finally, the paper discusses the mechanism of the macroeconomic effects on the stock market to helpfully solve the problem of China real estate problem.

Item Type: Dissertation (University of Nottingham only)
Depositing User: LI, Tianyi
Date Deposited: 14 Apr 2023 12:08
Last Modified: 14 Apr 2023 12:08

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