Julian, Inchauspe and Helen, Cabalu (2013): What Drives the Shanghai Stock Market? An Examination of its Linkage to Macroeconomic Fundamentals.
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Abstract
Previous research has struggled to explain the valuation of A-shares in the Shanghai stock market using traditional financial indicators. We offer a different perspective by analysing the influence of key macroeconomic variables. The novelty of our econometric study is the implementation of a Markov-switching mean adjustment of stock returns that allows for detecting asymmetric relationships for periods of generally increasing and decreasing stock prices. We find evidence that whereas macroeconomic indicators do not matter during tranquil periods, investors do react to changes in domestic consumption and exchange rate policy during periods of extremely high or low excess stock returns.
Item Type: | MPRA Paper |
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Original Title: | What Drives the Shanghai Stock Market? An Examination of its Linkage to Macroeconomic Fundamentals |
Language: | English |
Keywords: | Shanghai stock exchange (SSE); Macroeconomic fundamentals; Markov-switching (MS); bull market; bear market |
Subjects: | G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets G - Financial Economics > G1 - General Financial Markets > G19 - Other O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development > O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance |
Item ID: | 93049 |
Depositing User: | Dr Julian Inchauspe |
Date Deposited: | 01 Apr 2019 13:26 |
Last Modified: | 02 Oct 2019 04:37 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/93049 |