DocumentCode
2969295
Title
An Empirical Study on the Relationship between Stock Market Returns and Macroeconomic Variables: The Evidence from China
Author
Zhang Lei ; Jiang Yue
Author_Institution
Dept. of Finance, Accounting & Auditing Res., State Grid Energy Res. Inst., Beijing, China
fYear
2011
fDate
12-14 Aug. 2011
Firstpage
1
Lastpage
4
Abstract
This study will investigate whether current economic activities in china have explanatory power over stock returns, or not. Monthly data of Shanghai Securities Exchange Composite Index and a set of macroeconomic variables, including money supply (M2), Value-added of industry (VAI), are used in this study. Engel-Granger, Johansen-Juselius co-integration tests and Granger Causality test are used to explain the long-run relations between macroeconomic variables and stock index.
Keywords
macroeconomics; stock markets; China; Engel-Granger cointegration tests; Granger causality test; Johansen-Juselius cointegration tests; Shanghai securities exchange composite index; economic activities; macroeconomic variables; money supply; stock index; stock market returns; value added of industry; Economic indicators; Equations; Indexes; Macroeconomics; Security; Stock markets;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science (MASS), 2011 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-6579-8
Type
conf
DOI
10.1109/ICMSS.2011.5998503
Filename
5998503
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