Estimation on Dynamic Correlations Among Foreign Reserve Growing, Liquidity Shock and Stock Market Fluctuation in China

@article{Yongmao2014EstimationOD,
  title={Estimation on Dynamic Correlations Among Foreign Reserve Growing, Liquidity Shock and Stock Market Fluctuation in China},
  author={Wang Yongmao},
  journal={2014 Ninth International Conference on Broadband and Wireless Computing, Communication and Applications},
  year={2014},
  pages={274-276}
}
  • Wang Yongmao
  • Published 2014 in
    2014 Ninth International Conference on Broadband…
Since 1995, China's foreign exchange reserve has been growing rapidly, which brought about liquidity problem significantly and stock market volatility sharply. This paper explores both long-term and short-term dynamic effects on China's stock market by changes in China's foreign exchange reserve. Based on a VEC model, empirical results show that, growth of foreign exchange reserve exacerbated stock market volatility. But in the short term, changes in foreign exchange reserve have a reverse… CONTINUE READING