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Academic Journal of Business & Management, 2023, 5(6); doi: 10.25236/AJBM.2023.050602.

Analysis on the correlation between credit scale of financial institutions and stock market price data


Zhiyuan Zhang1, Zhechi Liu2, Min Li3, Ruilin Wang4, Feng Zhang5, Yishuai Wang6

Corresponding Author:
Zhiyuan Zhang

1Basic Science of Mathematics and Physics, Dalian University of Technology, Dalian, China

2Financial Engineering, Shandong Yingcai University, Jinan, China

3Bachelor of Business Administration, Sungkyunkwan University, Seoul, South Korea

4Financial Engineering, The Chinese University of Hong Kong, Shenzhen, Shenzhen, China

5Business Information System, UCSI University, Kuala Lumpur, Malaysia

6Shanghe No. 1 Middle School, Jinan, China


This paper analyzes the degree of association between credit size of financial institutions and stock market prices in China based on monthly data from November 2006 to November 2016 using impulse response function because of VAR time series model. The results show that there is a two-way Granger causality between the credit size of financial institutions and stock market prices when the lag order is 2. The impact of credit size of financial institutions on stock market price shocks is larger in the short-term, and this effect rapidly decreases to near zero after the med-long term. Conversely, the med-long term shocks to the credit size of financial institutions are larger than the short-term shocks by stock market prices.


credit scale; stock market prices; digital finance; financial big data; fintech

Cite This Paper

Zhiyuan Zhang, Zhechi Liu, Min Li, Ruilin Wang, Feng Zhang, Yishuai Wang. Analysis on the correlation between credit scale of financial institutions and stock market price data. Academic Journal of Business & Management (2023) Vol. 5, Issue 6: 6-11. https://doi.org/10.25236/AJBM.2023.050602.


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