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Nexuses between economic factors and stock returns in China

Author

Listed:
  • Khan, Muhammad Kamran
  • Teng, Jian -Zhou
  • Parviaz, Javed
  • Chaudhary, Sunil Kumar

Abstract

Economist and stock managers always focus on stock market return. This study investigated short and long run relationship between economic factors and stock returns in China by applying ARDL approach from 01/2000 to 12/2016. Estimated results of bound test for co-integration shows that long run relationships exist among the variables except inflation rate. Results of short and long run ARDL demonstrate that exchange rate and inflation rate have positive effect on stock returns in China while interest rate have negative effect on stock returns. Results indicate that stock returns in China are very sensitive and can be affected positively or negatively with increase and decrease in economic factors. Both local and regional factors in China can directly and indirectly explain Shanghai Stock Exchange stock returns.

Suggested Citation

  • Khan, Muhammad Kamran & Teng, Jian -Zhou & Parviaz, Javed & Chaudhary, Sunil Kumar, 2017. "Nexuses between economic factors and stock returns in China," MPRA Paper 81017, University Library of Munich, Germany, revised 21 Aug 2017.
  • Handle: RePEc:pra:mprapa:81017
    as

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    File URL: https://mpra.ub.uni-muenchen.de/81017/1/MPRA_paper_81017.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    stock returns; economic factors; ARDL;

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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