Stock returns and economic fundamentals in an emerging market: An empirical investigation of domestic and global market forces

被引：11

作者：

Chiang, Thomas C. ^{[1
]}

Chen, Xiaoyu ^{[2
]}

机构：

[1] Drexel Univ, Dept Finance, Philadelphia, PA USA

[2] Shanghai Stock Exchange, Capital Market Inst, 528 South Pudong Rd, Shanghai 200120, Peoples R China

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2016年 / 43卷

关键词：

Stock return; Asymmetric volatility; Long memory; Economic fundamentals; PARCH; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; EXPECTED RETURNS; CROSS-SECTION; DISTRIBUTIONS HYPOTHESIS; FINANCIAL CONTAGION; LIQUIDITY RISK; TRADING VOLUME; PRICE CHANGES; LONG MEMORY; TIME-SERIES;

D O I：

10.1016/j.iref.2015.10.034

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper presents a model that links an emerging market's stock returns to domestic economic forces: changes in the dividend yield, trading volume, stock volatility, and illiquidity; and to global market forces: changes in the exchange rate, US market returns, and stress in the US market. Testing the data on aggregate market and 10 industrial sectors using an asymmetric PARCH procedure, we find evidence supporting a link to domestic forces. However, after adding changes in the exchange rate, US stock returns, and stress in the US market to the model, these global market forces overwhelmingly dominate the explanation of stock returns. (C) 2015 Elsevier Inc. All rights reserved.

引用

页码：107 / 120

页数：14

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