Publication Type
Working Paper
Version
publishedVersion
Publication Date
11-2012
Abstract
In the last few decades, we observed a significant increase in global economic activities and these activities may have an impact on both China's economy and stock market. Given the potential impact, we empirically examine whether US economic variables are leading indicators of the Chinese stock market. Prior to China joining the World Trade Organization (WTO) in the end of 2001, we find no statistical relationship between US economic variables and the Chinese stock market returns. However, we find US economic variables have statistically significant predictive power for periods after China's admission into the WTO. In addition, we show that the combination of US and China economic variables is more superior in terms of forecasting ability than either single country economic variables. These findings are of economic importance from an investment perspective.
Keywords
Chinese stock market, Return predictability, International investment
Discipline
Asian Studies | Corporate Finance | Finance | Portfolio and Security Analysis
Research Areas
Finance
First Page
1
Last Page
32
Citation
GOH, Jeremy; JIANG, Fuwei; TU, Jun; and WANG, Yuchen.
Can US Economic Variables Predict Chinese Stock Market?. (2012). 1-32.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/3147
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://ssrn.com/abstract=1914258
Included in
Asian Studies Commons, Corporate Finance Commons, Finance Commons, Portfolio and Security Analysis Commons