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
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;
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
DOI :
10.1109/ICMSS.2011.5998503
