An Empirical Study on the Relationship between Stock market returns and macroeconomic variables:the evidence from China

摘要：

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.

作者: Zhang Lei JiangYue

作者单位: Dept.Of Finance, Accounting and Auditing Research State Grid Energy Research Institute Beijing, Chin China Academy of Public Finance and Public Policy Central University of Finance and Economics Beijin

会议类型: 国际会议

会议名称: International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)

会议地点: 武汉

会议语种:英文

页码: 1-4

在线出版日期: 2011-08-12（万方平台首次上网日期，不代表论文的发表时间）