A New Approach to Modelling Sector Stock Returns in China

Terence Tai Leung Chong, Nasha Li and Lin Zou

MPRA Paper from University Library of Munich, Germany

Abstract: This 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.

Keywords: Factor-augmented regression; Excess stock returns; Common factors. (search for similar items in EconPapers)
JEL-codes: C22 G1 (search for similar items in EconPapers)
Date: 2016-09-01
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Related works:
Journal Article: A New Approach to Modeling Sector Stock Returns in China (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:80554

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