Ning Zeng – School of Business, Macau University of Science and Technology, Avenida Wai Long, Taipa, Macau
Xixi Li – School of Business, Macau University of Science and Technology, Avenida Wai Long, Taipa, Macau; Zhuhai
College of Science and Technology, Avenida Wai Long, Taipa, Macau
DOI: https://doi.org/10.31410/EMAN.S.P.2021.31
5th International Scientific Conference – EMAN 2021 – Economics and Management: How to Cope With Disrupted Times, Online/Virtual, March 18, 2021, SELECTED PAPERS published by: Association of Economists and Managers of the Balkans, Belgrade, Serbia; ISBN 978-86-80194-44-8, ISSN 2683-4510
Abstract:
This paper examines the impact of interest rate adjustment on the stock market in China.
We collect the interest rate adjustment periods from April 21, 1991 to October 24, 2015 since the establishment
of the stock market. Through an Error Correction model together with Granger causality, we
investigate responses of the stock index to interest rate adjustment. Our findings suggest that there is
existing a long-term reverse relationship between interest rate adjustment and stock index. The impact
of interest rate adjustment on stock index returns could not be long-term disequilibria, which will be
corrected in short-time. Also, the interest rate is the granger cause of the stock price index, while the
stock price index is not the granger cause of interest rate.
Keywords:
Interest Rates Adjustment, Shanghai Composite Index, Error correction model.
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