In this paper we investigated the causal relationsh ip between FDI, exchange rate and financial market development using monthly data from China. In particular, we want determine whether there existed any significant causal nexus was from FDI exchange rate to financial market development or the other way round in China utilizing a VAR approach. The results indicated that FDI explain nearby 36% of variation of SSE, and FDI depicts positive relationship with financial market development; while Exchange rate variation (RMB), although it also showed a positive relationship with Shanghai Stock Exchange Composite Index time series dataset, the magnitude of the effect is rather small.

A VAR Approach on the Financial Market Development in China / Mele, Marco; Quarto, Angelo. - In: EUROPEAN JOURNAL OF ECONOMICS, FINANCE AND ADMINISTRATIVE SCIENCES. - ISSN 1450-2275. - 71:(2015), pp. 97-105.

A VAR Approach on the Financial Market Development in China

QUARTO, Angelo
2015

Abstract

In this paper we investigated the causal relationsh ip between FDI, exchange rate and financial market development using monthly data from China. In particular, we want determine whether there existed any significant causal nexus was from FDI exchange rate to financial market development or the other way round in China utilizing a VAR approach. The results indicated that FDI explain nearby 36% of variation of SSE, and FDI depicts positive relationship with financial market development; while Exchange rate variation (RMB), although it also showed a positive relationship with Shanghai Stock Exchange Composite Index time series dataset, the magnitude of the effect is rather small.
2015
Financial market development; FDI; exchange rate; V AR; China.
01 Pubblicazione su rivista::01a Articolo in rivista
A VAR Approach on the Financial Market Development in China / Mele, Marco; Quarto, Angelo. - In: EUROPEAN JOURNAL OF ECONOMICS, FINANCE AND ADMINISTRATIVE SCIENCES. - ISSN 1450-2275. - 71:(2015), pp. 97-105.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/856238
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