Stock returns and economic forces—An empirical investigation of Chinese markets

Xiaoyu Chen and Thomas C. Chiang

Global Finance Journal, 2016, vol. 30, issue C, 45-65

Abstract: This study finds evidence that a better macroeconomic climate and an improvement in liquidity help to explain Chinese stock returns. There is no evidence to support the hypothesis that growth in dividend yields can predict stock returns. The sectoral stock returns in China's markets are correlated with stock returns in the US markets as evidenced by: (i) a positive correlation with US stock returns; (ii) a significant negative error correcting term; (iii) a negative response of Chinese stocks to financial stress in the US market; and (iv) a positive correlation with a depreciation in the China/US exchange rate.

Keywords: Stock return; Chinese stock market; Economic fundamentals; Illiquidity; GARCH (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1044028316300400
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:30:y:2016:i:c:p:45-65

DOI: 10.1016/j.gfj.2016.01.001

Access Statistics for this article

Global Finance Journal is currently edited by Manuchehr Shahrokhi

More articles in Global Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().