STOCK MARKET REACTION TO MACROECONOMIC VARIABLES USING COINTEGRATION APPROACH: AN EMPIRICAL EVIDENCE FROM CHINA

Abstract

This study aims to investigate the effect of macroeconomic variables on the stock market in China. This study uses monthly data from January 2001: October 2024. Johansen Cointergration test is employed to examine the long run relationship of macroeconomic variables namely inflation, interest rate, GDP, money supply, gold price, oil price and exchange rates. The estimation results indicate a long run relationship exists between the stock market and the selected macroeconomic variables.