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Conditional Heteroscedastic Cointegration Analysis with Structural Breaks a Study on the Chinese Stock Markets

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Conditional Heteroscedastic Cointegration Analysis with Structural Breaks a Study on the Chinese Stock Markets Conditional Heteroscedastic Cointegration Analysis with Structural Breaks A study on the Chinese stock markets Authors: Supervisor: Andrea P.G. Kratz Frederik Lundtofte Heli M.K. Raulamo VT 2011 Abstract A large number of studies have shown that macroeconomic variables can explain co- movements in stock market returns in developed markets. The purpose of this paper is to investigate whether this relation also holds in China’s two stock markets. By doing a heteroscedastic cointegration analysis, the long run relation is investigated. The results show that it is difficult to determine if a cointegrating relationship exists. This could be caused by conditional heteroscedasticity and possible structural break(s) apparent in the sample. Keywords: cointegration, conditional heteroscedasticity, structural break, China, global financial crisis Table of contents 1. Introduction ............................................................................................................................ 3 2. The Chinese stock market ...................................................................................................... 5 3. Previous research .................................................................................................................... 7 3.1. Stock market and macroeconomic variables ................................................................ 7 3.2. The Chinese market ..................................................................................................... 9 4. Theory .................................................................................................................................. 10 4.1. Macroeconomic theory .................................................................................................. 10 4.1.1. The intertemporal asset pricing model .................................................................... 10 4.1.2. Implications ............................................................................................................. 13 4.1.3. The underlying factors ............................................................................................ 13 4.1.4. Market efficiency .................................................................................................... 14 4.2 Econometric theory ......................................................................................................... 14 4.2.1. Non-stationarity and unit roots ............................................................................... 14 4.2.2. Cointegration ........................................................................................................... 15 4.2.3. Unit root tests .......................................................................................................... 16 4.2.4. Structural breaks ..................................................................................................... 17 4.2.5. Structural breaks and cointegration ........................................................................ 18 4.2.6. Conditional heteroscedasticity ................................................................................ 19 4.2.7. ARCH and GARCH ................................................................................................. 20 4.2.8. Conditional heteroscedastic cointegration analysis ................................................ 21 4.2.9. Structural breaks and GARCH ................................................................................ 21 4.2.10. Cointegration analysis with structural breaks and conditional heteroscedasticity 21 5. Empirical study .................................................................................................................... 23 5.1. Data ................................................................................................................................ 23 5.2. Methodology and results ............................................................................................... 24 5.2.1. The empirical model ............................................................................................... 24 5.2.2. EG cointegration test ............................................................................................... 25 5.2.3. GH cointegration test .............................................................................................. 25 5.2.4. The Westerlund and Edgerton cointegration test .................................................... 27 5.3. Discussion ...................................................................................................................... 27 5.3.1. The cointegration tests ............................................................................................ 27 5.3.2. Implication for investment choices ......................................................................... 29 1 6. Conclusions .......................................................................................................................... 31 References ................................................................................................................................ 32 Appendix .................................................................................................................................. 40 Figures and tables Figure 1 Yearly GDP and stock prices 2001-2006 .................................................................... 3 Figure 2 Yearly GDP and stock prices 2001-2010 .................................................................... 4 Figure 3 Natural logarithms of the nominal stock prices 2001M06-2010M12 ........................ 26 Table 1 Cointegration test with EG method for Shanghai ....................................................... 40 Table 2 Cointegration test with EG method for Shenzhen ....................................................... 40 Table 3 Cointegration test with GH method for Shanghai with constant and trend ................ 40 Table 4 Cointegration test with GH method for Shenzhen with constant and trend ................ 41 Table 5 Cointegration test with Westerlund & Edgerton method for Shanghai ...................... 41 Table 6 Cointegration test with Westerlund & Edgerton method for Shenzhen ...................... 41 2 1. Introduction Modern financial theories state that there is a systematic risk that can explain co-movements in the stock market. Numerous studies performed on developed markets have provided evidence that this systematic risk can be predicted using macroeconomic variables (e.g. Jorion, 1991; Fama and French, 1989; Chen, Roll, and Ross, 1986; Kaul, 1987). Between the years 2001 and 2005 the Chinese stock market’s performance went in a different direction than the country’s aggregated economy (see figure 1). Even though the annual GDP growth rate was around nine percent, the stock market indices fell 1084 points between those years. This divergent behavior goes against the common belief that the stock market and the real economy move in the same directions (Zeng and Wan, 2007). Given this relation in GDP and stock prices between 2001 and 2005, the question is awakening if macroeconomic factors can explain co-movements in the Chinese emerging stock markets? Yearly GDP and stock prices between 2001M06 and 2005M06 200 180 160 140 120 100 80 60 40 2001 2002 2003 2004 2005 GDP SZ SH Figure 1 Yearly GDP and stock prices in China, SZ=Shenzhen, SH=Shanghai (index 100=2001-06) Source: NBS (2011) Some of the macroeconomic variables that explain co-movements in stock market prices have been proven to be rather uneven over time. Some studies1 have found strong evidence for a specified variable while other studies fail to give any proof of predictability for the same one. Therefore it is difficult to be sure whether macroeconomic variables are useful in predicting the stock market returns. Extensive research has been done of this question in developed economies while less research has been made on the emerging markets. The macroeconomic variables’ effect on the stock prices in emerging markets is therefore even more uncertain 1 See for example Chen, Roll and Ross (1986) 3 than the effect on the developed ones. An even smaller amount of research has been done on the Chinese market over unusual economic periods. As for all stock markets in the world, the global financial crisis which started in 2007 has had an impact on the Chinese markets. It is therefore interesting to investigate if the macroeconomic variables, despite the chaotic period, could predict co-movements in the stock market. Most studies have looked at the relationship between macroeconomic variables and stock returns in the long run. The rather unexpected behavior of the relationship between stock markets and aggregated economic growth in China during 2001-2005 could just be a temporary move from the long run equilibrium. Another reason might be that the explaining factors for co-movements on the developed markets are not applicable on the emerging markets. Over a longer time period the real economy and the stock market seem to be moving in the same direction. Yearly GDP and stock prices between 2001M12 and 2010M12 600 500 400 300 200 100 0 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 GDP SZ SH Figure 2 Yearly GDP and stock prices on Shanghai and Shenzhen stock exchange (index 100=2001M12) Source: NBS, 2011 Thus, the aim of this paper is to investigate if underlying macroeconomic variables can explain the long run co-movements in the composite indices of China’s
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