Relationship of stock prices, foreign exchange, interest rate, money supply and its Impact on portfolio performance in Indian and Chinese stock markets

Yanan Feng

Date of Publication

2015

Document Type

Master's Thesis

Degree Name

Master of Science in Financial Engineering

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Tomas Tiu

Defense Panel Chair

Ricarte Q. Pinlac

Defense Panel Member

Alfredo M. Santoyo
Tyrone Panzer Chan Pao

Abstract/Summary

The study aims to find the relationship of stock prices, foreign exchange, interest rate, money supply and its impact on portfolio performance in Indian and Chinese stock markets by gather the data from 2001-2010 and use Augmented Dickey-Fuller unit root test, Fully Modified Ordinary Least Square and Autoregressive Distributed Las Model in Eviews. Based on the results, the stock prices positively affected by money supply in the long run and statistically significant with it. The foreign exchange rate is negatively affected by inflation and interest rate in the short run, and insignificantly associated with the money supply in the long run. The money supply has positive relationship with economic activity, but negative relationship with interest rate, and it shows a phenomenon of periodic fluctuation. Since the volatility of money supply leads the stock prices, so once the money supply comes with the periodic high point, so followed by the high point for stock prices and the inflation. The investors can use the model of this study to forecast the best point to invest for China and India base on the historical data.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTG006388

Shelf Location

Archives, The Learning Commons, 12F Henry Sy Sr. Hall

Physical Description

1 computer optical disc ; 4 3/4 in.

Upload Full Text

wf_no

This document is currently not available here.

Share

COinS