tailieunhanh - Booms and Busts in China’s Stock Market estimates Based on Fundamentals

They found that for the US and Canada this reaction can be accounted for entirely by the impact of the oil shocks on cash-flows. The results for Japan and the UK were inconclusive. Using an unrestricted vector autoregressive (VAR), Huang et al. (1996) show a significant link between some American oil company stock returns and oil price changes. However, they find no evidence of a relationship between oil prices and market indices such as the S&P500. In contrast, Sadorsky (1999) applies an unrestricted VAR with GARCH effects to American monthly data and shows a significant relationship between oil price. | EUROPEAN CENTRAL BANK EUROSYSTEM WORKING PAPER SERIES NO 1190 I MAY 2010 BOOMS AND BUSTS IN CHINA S STOCK MARKET ESTIMATES BASED ON FUNDAMENTALS by Gabe J. de Bondt Tuomas A. Peltonen and Daniel Santabárbara EUROPEAN CENTRAL BANK EUROSYSTEM WORKING PAPER SERIES NO 1190 I MAY 2010 BOOMS AND BUSTS IN CHINA S STOCK MARKET ESTIMATES BASED ON FUNDAMENTALS 1 by Gabe J. de Bondt2 Tuomas A. Peltonen3 and Daniel Santabárbara4 In 2010 all ECB publications feature a motif taken from the 500 banknote. NOTE This Working Paper should not be reported as representing the views of the European Central Bank ECB . The views expressed are those of the authors and do not necessarily reflect those of the ECB. This paper can be downloaded without charge from http or from the Social Science Research Network electronic library at http abstract_id 1599538. I We wish to thank Marianna Caccavaio Ettore Dorrucci Marcel Fratzscher Frank Moss Christian Thimann and an anonymous referee for their comments. The views expressed in the paper are those of the authors and do not necessarily reflect those of the European Central Bank Banco de Espana or the Eurosystem. 2 Corresponding author European Central Bank Kaiserstrasse 29 603II Frankfurt am Main Germany phone 49 69 I344 6477 e-mail . 3 European Central Bank Kaiserstrasse 29 603II Frankfurt am Main Germany e-mail . 4 Banco de Espana and European Central Bank e-mail . European Central Bank 2010 Address Kaiserstrasse 29 60311 Frankfurt am Main Germany Postal address Postfach 16 03 19 60066 Frankfurt am Main Germany Telephone 49 69 1344 0 Internet http Fax 49 69 1344 6000 All rights reserved Any reproduction publication and reprint in the form of a different publication whether printed or produced electronically in whole or in part is permitted only with the explicit written authorisation of the ECB or the authors. .