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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

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

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 


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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

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

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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