Research on the Relationship Between Stock Price Volatility and Bank Credit —Based on Constructive Model and Granger Causality Test

DOI

10.2991/978-94-6463-042-8_158How to use a DOI?

Keywords

stock prices; bank credit; financial crises; financial market

Abstract

With the improvement of capital business sectors and advances in monetary development, the relationship between resource value unpredictability and the genuine economy has been demonstrated by scholars on many occasions. The rapid growth of the stock market today, accompanied by dramatic volatility, and the consequent large swings in new bank credit, demonstrates the extremely high correlation between stock prices and bank credit. Therefore, studying the impact of stock price volatility on the scale of bank credit can help reduce the effect of stock price volatility on the macro-economy and is of great significance for optimizing regulatory indicators and maintaining financial stability. Based on the theoretical analysis, this paper uses model building and Granger causality tests to empirically analyse the specific linkages. The model is based on data from a number of commercial banks, which shows that when the value of stocks rises, firms will further expand their investments and the demand for bank loans will increase; the Granger causality test also predicts the causal relationship between stock prices and bank credit. The test results show that there is a long-run stable equilibrium positive association between stock price and bank credit, proving that stock price is the Granger cause of bank credit, while bank credit expansion is not the cause of stock price increase, and providing a theoretical, trend and empirical analysis of the relationship between the two.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Download article (PDF)

TY  - CONF
AU  - Mufan Yang
PY  - 2022
DA  - 2022/12/29
TI  - Research on the Relationship Between Stock Price Volatility and Bank Credit —Based on Constructive Model and Granger Causality Test
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 1109
EP  - 1113
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_158
DO  - 10.2991/978-94-6463-042-8_158
ID  - Yang2022
ER  -