Detecting the Macroeconomic Factors in Chinese Stock Market Returns:A Generalized Dynamic Factor Model Approach

摘要：

This paper studies the macroeconomic factors in the stock market returns within a generalized dynamic factor approach This method enables us to summarize a large amount of economic information by few estimated factors and therefore avoids dimensional limitation of VAR or VEC model in this field.We pick out 78 series from the monthly economy indicators and financial variables in China spanning from 2005 to 2009 and find that latent macroeconomic factors-the risk premium, the credit supply and the demand factor combined with the economic policy measurescontain important information about the returns in Chinese stock market white the supply factor affects via risk premium on the following period.

关键词： Generalized Dynamic Factor Model Stock market returns Macroeconomic fundamentals

作者: Xue CHEN Xuejun JIN

作者单位: College of Economics.Zhejiang University Hangzhou,China College of Economics,Zhejiang University Hangzhou,China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 184-188

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）