Table 12 the results of the GLS estimation about the impact of
macroeconomic factor on the MRSZ
Variable Coefficient
P-value.
C -52.77215 0.0206
INF 2.143166
0.2464
EX 0.585144**
0.0132
MS 0.088497
0.9425
INT -3.077102**
0.0142
R-squared 0.194741
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.
4.2.2.4 Impact of Macroeconomic Variables with Control Factor MRSH on Banking
Industry Stock Return
The results of the GLS estimation about the impact of macroeconomic factor
and with control factor MRSH on the R are presented in Table 13. The R is banking
industry stock return which is a dependent variable. According to the result, the
inflation rate has a negative and insignificant association with banking industry stock
return. As reported in Table 13 below, the coefficient estimate of d
1
is -0.915199,
indicating that an increase in the inflation rate by 1 unit will cause banking industry
stock to respond by a decrease of 0.915199 unit. If a decrease in the inflation rate by 1
unit will cause banking industry stock to respond by an increase of 0.915199 unit, but
there is not significantly affects to the stock return which according to the result, the
P-value is 0.3768. For the exchange rate, the regression result indicate that exchange
rate has a negative and insignificant association with banking industry stock return,
the coefficient estimate of d
2
is -0.055194, it means when EX change 1 unit, the return
will change negative 0.055194 unit, and exchange rate is insignificantly affects the
banking stock depend on the result that P-value is 0.6520. This result is supported by
50
the studies. Banking industry stock return has a positive relationship with money
supply(MS), it means when MS change 1 unit, the return will change positive
0.281899 unit, but is not significantly affects the stock return because of the P-value is
0.6883. Here, banking industry stock return has a negative relationship with interest
rate (INT), the coefficient estimate of d
4
is -0.060773,the result shows that interest
rate change 1 unit, the banking industry stock return will change negative 0.060773
unit, it means an increase in the interest rate by 1 unit will cause banking industry
stock to respond by a decrease of 0.060773 unit. If a decrease in the interest rate by 1
unit will cause banking industry stock to respond by an increase of 0.060773 units.
And there is an insignificant affect to the return because of the P-value is 0.9261. For
the Shanghai exchange stock return, the result shows a positive and very significantly
on the banking stock return, the coefficient estimate of d
5
is 0.938366, it means an
increase in the MRSH by 1 unit will cause banking industry stock to respond by a
decrease of 0.938366 unit. If a decrease in the MRSH by 1 unit will cause banking
industry stock to respond by an increase of 0.938366 unit. And there is a very
significant positive effect on the return which at the 1% significant level because of
the P-value is 0. From the result, we can see that, when put the control variable like
MRSH into the model, all the macroeconomic variables have insignificant to the
banking industry stock return, and the change of banking industry stock return
completely depend on the MRSH.
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