Academic Journal of Business & Management, 2023, 5(6); doi: 10.25236/AJBM.2023.050602.
Zhiyuan Zhang1, Zhechi Liu2, Min Li3, Ruilin Wang4, Feng Zhang5, Yishuai Wang6
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
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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