iv
Thesis Title The impact of macro-economic factors on banking industry
stock return in China
Name
LINA
TU
Degree
Master of Business Administration
Thesis Advisor
Assistant Professor. Dr. Li Li
Graduate year
2012
ABSTRACT
This study examines the impacts of macroeconomic factors which including
inflation rate, exchange rate, money supply and interest rate
on banking industry stock
return in China by using generalized least squares (GLS) model. The research covers
16 banks which listing on both Shanghai stock exchange and Shenzhen stock
exchange as a whole banking sector be the dependent variable and moreover, the
return of Shanghai stock market and the return of Shenzhen
stock market are the
control variables. The sample of data is from September 2007 to June 2012 and all
data is collected by monthly data. The regression results indicate that both the change
of inflation rate and the growth rate of money supply (M2) are positive but
insignificant to the
banking industry stock return, the exchange rate is positive and
significant to banking industry stock return and interest rate is negative and significant
to banking industry stock return. But when put the control variables into the model, it
shows that all macroeconomic factors have no impact on
the banking industry stock
return.
Keywords: Banking industry stock return, Inflation rate, Exchange rate,
Money
supply, Interest rate, Shanghai stock market return, Shenzhen stock market return
