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

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  • Chen, Xiaoyu
  • Chiang, Thomas C.

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.

Suggested Citation

  • Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
    • Handle: RePEc:eee:glofin:v:30:y:2016:i:c:p:45-65
    DOI: 10.1016/j.gfj.2016.01.001
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    More about this item

    Keywords

    Stock return; Chinese stock market; Economic fundamentals; Illiquidity; GARCH;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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