Nexuses between Economic Factors and Stock Returns in China

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.

Macroeconomic Factors, Energy Consumption and Firms Performance on Stock Return of Mining and Energy Sector: Evidence From Indonesia

“…Previous studies by Khan et al, (2017); (Kandir, 2008); (Bilson et al, 2001); (Tsoukalas, 2003) showed exchange rate has significant effect on stock return. Some of the companies listed on the Indonesia Stock Exchange (IDX) have substantial foreign debt.…”

“…Kandir (2008) and Rjoub et al, (2009) found a significant relationship between the stock return and unanticipated inflation in Turkey. Khan et al, (2017) found the exchange rate and inflation rate have a positive effect on stock return in China. Flannery and Protopapadakis (2002) found stock market returns are significantly correlated with inflation on NYSE, AMEX, and NASDAQ stock market.…”

Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model

“…The used datasets were composed in a legitimate manner, completely obeying with the terms of service of the both sources. By following Qaio et al [46]; Botta et al [47]; Ranco et al [48]; Khan et al [49] and Yun and Yoon [50] returns of both variables are calculated by taking the natural logarithm difference of stock returns of Shanghai stock exchange composite index and the (WTI) oil prices returns, as shown in the following Equations. Where SSERM and OilpM are the returns of Shanghai stock exchange composite index and the oil prices (WTI) returns respectively, SSERM t and OilpM t are the today prices and SSERM t −1 , OilpM t −1 are the previous day prices.…”

The relationship between energy consumption, economic growth and carbon dioxide emissions in Pakistan

“…Following previous researchers Youssef (2015a, 2015b), Youssef (2015a, 2015b) and Alshehry and Belloumi (2015) and Khan et al (2017Khan et al ( , 2019a) in this study we use the bound testing approach proposed by Pesaran et al (2001) to estimate the long run estimates between CO 2 emission, economic growth, energy consumption. Prior studies in energy economics suggest several econometric approaches to check the existence of the cointegration.…”