Table 11 The results of the GLS estimation about the impact
of macroeconomic factor on the MRSH
Variable Coefficient P-value.
C -45.94752 0.0233
INF 1.872063 0.2627
EX 0.488349** 0.0197
MS 0.580649 0.6039
INT -2.321836** 0.0367
R-squared
0.196678
Note: C, INF, EX, MS, INT stand for the intercept term, inflation rate, exchange rate, money supply
and interest rate. ***, ** and * indicates significant at 1%, 5% and 10% significant level.
48
4.2.2.3 Impact of Macroeconomic Variables on Shenzhen exchange Stock Returns
The results of the GLS estimation about the impact of macroeconomic factor
on the MRSZ are presented in Table 12. The MRSZ is Shenzhen exchange stock
return which is a dependent variable. According to the result, the inflation rate has a
positive and insignificant association with Shenzhen exchange stock return. As
reported in Table 12 below, the coefficient estimate of c
1
is 2.143166, indicating that
an increase in the inflation rate by 1 unit will cause Shenzhen exchange stock return
to respond by an increase of 2.143166 units. If a decrease in the inflation rate by 1
unit will cause Shenzhen exchange stock return to respond by a decrease of 2.143166
unit, but there is not significantly affects to the stock return which according to the
result, the P-value is 0.2464. For the exchange rate, the regression result indicate that
exchange rate has a positive and significant association with Shenzhen exchange
stock return, the coefficient estimate of c
2
is 0.585144, it means when EX change 1
unit, the return will change positive 0.585144 unit, and exchange rate is significantly
affects the Shenzhen exchange stock return at 5% significant level depend on the
result that P-value is 0.0132. Shenzhen exchange stock return has a positive
relationship with money supply (MS), it means when MS change 1 unit, the return
will change positive 0.088497 unit, but is not significantly affects the stock return
because of the P-value is 0.9425. Here, Shenzhen exchange stock return has a
negative relationship with interest rate (INT), the result shows that interest rate
change 1 unit, the banking industry stock return will change negative 3.077102 units,
it means an increase in the interest rate by 1 unit will cause Shenzhen exchange stock
return to respond by a decrease of 3.077102 unit. If a decrease in the interest rate by 1
unit will cause Shenzhen exchange stock return to respond by an increase of
3.077102unit. And there is a significant affect to the return at the 5% significant level
too because of the P-value is 0.0142.
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