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The impact of macro-economic factors on banking industry stock 
return in China 
 
 
 
LINA TU 
 
 
 
A Thesis Submitted in Partial Fulfillment of the Requirements 
For the Degree of Master of Business Administration 
International College 
University of the Thai Chamber of Commerce 
2012 
 
 


The impact of macro-economic factors on banking industry stock 
return in China 
 
 
LINA TU 
 
 
A Thesis Submitted in Partial Fulfillment of the Requirements 
For the Degree of Master of Business Administration 
International College 
University of the Thai Chamber of Commerce 
2012 
 
Copyright by University of the Thai Chamber of Commerce 
 


iv 
Thesis Title The impact of macro-economic factors on banking industry 
stock return in China 
Name 
 LINA 
TU 
Degree 
 
Master of Business Administration 
Thesis Advisor
 
Assistant Professor. Dr. Li Li 
Graduate year
 
2012 
ABSTRACT 
 

This study examines the impacts of macroeconomic factors which including 


inflation rate, exchange rate, money supply and interest rate on banking industry stock 
return in China by using generalized least squares (GLS) model. The research covers 
16 banks which listing on both Shanghai stock exchange and Shenzhen stock 
exchange as a whole banking sector be the dependent variable and moreover, the 
return of Shanghai stock market and the return of Shenzhen stock market are the 
control variables. The sample of data is from September 2007 to June 2012 and all 
data is collected by monthly data. The regression results indicate that both the change 
of inflation rate and the growth rate of money supply (M2) are positive but 
insignificant to the banking industry stock return, the exchange rate is positive and 
significant to banking industry stock return and interest rate is negative and significant 
to banking industry stock return. But when put the control variables into the model, it 
shows that all macroeconomic factors have no impact on the banking industry stock 
return. 
Keywords: Banking industry stock return, Inflation rate, Exchange rate, Money 
supply, Interest rate, Shanghai stock market return, Shenzhen stock market return 

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