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An analysis of the consumption risk and asset returns of Chinese residents

Author

Listed:
  • ZANG Xuheng

    (School of Economics, Shandong University, Jinan 250100, China)

  • WANG Liping

    (School of Economics and City Management, Shandong Economic University, Jinan 250014, China)

Abstract

The research on the consumption-based asset pricing theory is limited to the developed capital markets. This paper seeks to extend the research to the Chinese developing capital market. It analyzes the dynamic relationship between the Chinese residents consumption, stock market returns and interest rates with the CCAPM. According to the analyses of this paper, the IV regression results are mixed. However, the data can fit the model relatively well, and the empirical results fail to reject the model. Thus, the results show that a relationship between the Chinese residents consumption growth rates and the asset returns does indeed exist, and that the consumption volatility risk could influence the asset returns.

Suggested Citation

  • ZANG Xuheng & WANG Liping, 2006. "An analysis of the consumption risk and asset returns of Chinese residents," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 1(3), pages 395-405, September.
    • Handle: RePEc:fec:journl:v:1:y:2006:i:3:p:395-405
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    File URL: http://journal.hep.com.cn/fec/EN/10.1007/s11459-006-0013-6
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    More about this item

    Keywords

    CCAPM; consumption; capital market; asset returns;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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