Add to ORKGThis paper analyzes the relationship between excess stock returns and the macroeconomy of China. A factor-augmented regression is applied to a panel of 123 monthly Chinese macroeconomic time series. Eight fundamental macroeconomic factors are identified and used to examine the excess returns in industrial, commercial, real estate and utilities sectors of the market. It is found that interest rate, output level, as well as property supply factors possess explanatory power for sector stock returns in China
This study identifies the leading risk attributes to Chinese stock returns. We demonstrate that the ...
This paper documents the fact that the factors extracted from a large set of macroeconomic variables...
The macroeconomic variables are an essential reference for both investors and authority regulators i...
This paper analyzes the relationship between excess stock returns and the macroeconomy of China. A f...
Li, Nasha.Thesis (M.Phil.)--Chinese University of Hong Kong, 2010.Includes bibliographical reference...
The securities market in China is one of the world’s most promising emerging markets. It played a si...
To search significant variables which can illustrate the abnormal return of stock price, this resear...
The determinants of stock return have been a important research in the recent years. In this paper w...
This dissertation has explored the relationship between stock return and macroeconomic factors, in t...
This study investigates the short-term relationships between stock return and a set of macroeconomic...
Previous research has struggled to explain the valuation of A-shares in the Shanghai stock market us...
Economist and stock managers always focus on stock market return. This study investigated short and ...
This dissertation concentrates on analysis of economic factors affecting Chinese stock market throug...
As a most important component of capital market, stock market has always been regarded as the “barom...
The primary purpose of this research is to perform an empirical test using Arbitrage Pricing Theory ...
This study identifies the leading risk attributes to Chinese stock returns. We demonstrate that the ...
This paper documents the fact that the factors extracted from a large set of macroeconomic variables...
The macroeconomic variables are an essential reference for both investors and authority regulators i...
This paper analyzes the relationship between excess stock returns and the macroeconomy of China. A f...
Li, Nasha.Thesis (M.Phil.)--Chinese University of Hong Kong, 2010.Includes bibliographical reference...
The securities market in China is one of the world’s most promising emerging markets. It played a si...
To search significant variables which can illustrate the abnormal return of stock price, this resear...
The determinants of stock return have been a important research in the recent years. In this paper w...
This dissertation has explored the relationship between stock return and macroeconomic factors, in t...
This study investigates the short-term relationships between stock return and a set of macroeconomic...
Previous research has struggled to explain the valuation of A-shares in the Shanghai stock market us...
Economist and stock managers always focus on stock market return. This study investigated short and ...
This dissertation concentrates on analysis of economic factors affecting Chinese stock market throug...
As a most important component of capital market, stock market has always been regarded as the “barom...
The primary purpose of this research is to perform an empirical test using Arbitrage Pricing Theory ...
This study identifies the leading risk attributes to Chinese stock returns. We demonstrate that the ...
This paper documents the fact that the factors extracted from a large set of macroeconomic variables...
The macroeconomic variables are an essential reference for both investors and authority regulators i...