Table 13 The results of the GLS estimation about the impact of both macroeconomic
factor and MRSH on the banking industry stock return (R)
Variable Coefficient
P-value.
C 5.97074 0.6143
MRSH 0.938366***
0.0000
INF -0.915199 0.3768
EX -0.055194 0.6520
MS 0.281899 0.6883
INT -0.060773 0.9261
R-squared 0.730689
Note: C, MRSH, INF, EX, MS, INT stand for the intercept term, Shanghai exchange stock return,
inflation rate, exchange rate, money supply and interest rate. ***, ** and * indicate 1%, 5% and 10%
significant levels, respectively.
4.2.2.5 Impact of Macroeconomic Variables with Control Factor MRSZ on Banking
Industry Stock Return
The results of the GLS estimation about the impact of macroeconomic factor
and with control factor MRSZ on the R are presented in Table 14. 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 14 below, the coefficient estimate of d
1
is -0.944351,
indicating that an increase in the inflation rate by 1 unit will cause banking industry
stock to respond by a decrease of 0.944351 unit. If a decrease in the inflation rate by 1
unit will cause banking industry stock to respond by an increase of 0.944351 unit, but
there is not significantly affects to the stock return which according to the result, the
P-value is 0.4226. 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 f
2
is -0.072285, it means when EX change 1 unit, the return
will change negative 0.072285 unit, and exchange rate is insignificantly affects the
52
banking stock depend on the result that p-value is 0.6093. This result is supported by
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
0.725314 unit, but is not significantly affects the stock return because of the P-value is
0.3522. Here, banking industry stock return has a negative relationship with interest
rate (INT), the coefficient estimate of f
4
is 0.262814, the result shows that interest rate
change 1 unit, the banking industry stock return will change positive 0.262814 unit, it
means an increase in the interest rate by 1 unit will cause banking industry stock to
respond by an increase of 0.262814 unit. If a decrease in the interest rate by 1 unit
will cause banking industry stock to respond by a decrease of 0.262814 unit. And
there is an insignificant affect to the return because of the P-value is 0.7301. For the
Shenzhen exchange stock return, the result shows a positive and very significantly on
the banking stock return, the coefficient estimate of d
5
is 0.811057, it means an
increase in the MRSZ by 1 unit will cause banking industry stock to respond by an
increase of 0.811057 units. If a decrease in the MRSZ by 1 unit will cause banking
industry stock to respond by a decrease of 0.811057 units. And there is a very
significant affect to 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 MRSZ into
the model, all the macroeconomic variables have insignificant expect on the banking
industry stock return, and the change of banking industry stock return completely
depends on the MRSZ.
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